Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends

DOI10.1111/JTSA.12458MaRDI QIDQ5111783zbMATH OpenOpenAlexWikidataFDO

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

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)

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

Cites work

• Asymptotic behaviour of tests for a unit root against an explosive alternative
• Asymptotic inference for nearly nonstationary AR(1) processes
• Boundary limit theory for functional local to unity regression
• 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
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Incidental trends and the power of panel unit root tests
• Limiting power of unit-root tests in time-series regression
• Marginal likelihood and unit roots
• Robust tests for spherical symmetry and their application to least squares regression
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• The available information for invariant tests of a unit root
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(2)

• Power functions and envelopes for unit root tests
• Asymptotic behaviour of tests for a unit root against an explosive alternative

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