Ratio tests of a unit root

DOI10.1080/03610920008832622zbMath1026.62089MaRDI QIDQ4541678

Hiroki Tsurumi, Teruo Nakatsuma, Elena Gouskova, Jinichi Uemura

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832622

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A point optimal test for autoregressive disturbances
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Trends and random walks in macroeconomic time series
• On typical characteristics of economic time series and the relative qualities of five autocorrelation tests
• Robust tests for spherical symmetry and their application to least squares regression
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• Robust tests for spherical symmetry
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Some properties of exact tests for unit roots
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• Efficient Tests for an Autoregressive Unit Root
• Computing the distribution of quadratic forms in normal variables