THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
From MaRDI portal
Publication:2886963
DOI10.1017/S0266466607070296zbMath1237.62121MaRDI QIDQ2886963
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items
UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ Some properties of tests for parameters that can be arbitrarily close to being unidentified ⋮ Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends ⋮ Testing for a unit root against ESTAR stationarity ⋮ The role of information in nonstationary regression ⋮ Conditional Information in Projections of Gaussian Vectors ⋮ COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor ⋮ SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS ⋮ NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE
Cites Work
- Limit theory for moderate deviations from a unit root
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Asymptotic inference for nearly nonstationary AR(1) processes
- Robust tests for spherical symmetry and their application to least squares regression
- Locally robust tests for serial correlation in least squares regression
- The shortcoming of locally most powerful tests in curved exponential families
- Defining the curvature of a statistical problem (with applications to second order efficiency)
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Trends versus Random Walks in Time Series Analysis
- Towards a unified asymptotic theory for autoregression
- Integration Versus Trend Stationary in Time Series
- Trend Function Hypothesis Testing in the Presence of Serial Correlation
- New Tools for Understanding Spurious Regressions
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Efficient Tests for an Autoregressive Unit Root
- Empirical Limits for Time Series Econometric Models
- Tests for Unit Roots and the Initial Condition
