The available information for invariant tests of a unit root
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Cites work
- Asymptotic inference for nearly nonstationary AR(1) processes Asymptotic inference for nearly nonstationary AR(1) processes
- Defining the curvature of a statistical problem (with applications to second order efficiency) Defining the curvature of a statistical problem (with applications to second order efficiency)
- Efficient Tests for an Autoregressive Unit Root Efficient Tests for an Autoregressive Unit Root
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- Integration Versus Trend Stationary in Time Series Integration Versus Trend Stationary in Time Series
- Limit theory for moderate deviations from a unit root Limit theory for moderate deviations from a unit root
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- New Tools for Understanding Spurious Regressions New Tools for Understanding Spurious Regressions
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
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- Tests for Unit Roots and the Initial Condition Tests for Unit Roots and the Initial Condition
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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- Trends versus Random Walks in Time Series Analysis Trends versus Random Walks in Time Series Analysis
Cited in
(12)- 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
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- On the inconsistency of the unrestricted estimator of the information matrix near a unit root
- The role of information in nonstationary regression
- THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- Some properties of tests for parameters that can be arbitrarily close to being unidentified
- Nontestability of equal weights spatial dependence
- Testing for a unit root against ESTAR stationarity
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
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