Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
DOI10.1111/JTSA.12458zbMATH Open1442.62043OpenAlexW2924156967WikidataQ128128700 ScholiaQ128128700MaRDI QIDQ5111783FDOQ5111783
Authors: Patrick Marsh 
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/19-03.pdf
Recommendations
- The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
- Incidental trends and the power of panel unit root tests
- Power functions and envelopes for unit root tests
- Efficient Tests for an Autoregressive Unit Root
- The power of unit root tests under local-to-finite variance errors
Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Incidental trends and the power of panel unit root tests
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic inference for nearly nonstationary AR(1) processes
- Towards a unified asymptotic theory for autoregression
- Time Series Regression with a Unit Root
- Robust tests for spherical symmetry and their application to least squares regression
- Efficient Tests for an Autoregressive Unit Root
- Marginal likelihood and unit roots
- Limiting power of unit-root tests in time-series regression
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Asymptotic behaviour of tests for a unit root against an explosive alternative
- Boundary Limit Theory for Functional Local to Unity Regression
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- The available information for invariant tests of a unit root
- 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
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