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

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

zbMATH Keywords

power envelopeunit rootstochastic expansionsum of chi-squares

Mathematics Subject Classification ID

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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