Local power functions of tests for double unit roots

DOI10.1111/J.1467-9574.2005.00285.XzbMATH Open1069.62066OpenAlexW3121425873MaRDI QIDQ5313480FDOQ5313480

Authors: Niels Haldrup, Peter Lildholdt 

Publication date: 1 September 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/01j3m1h6

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zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motionasymptotic local power function

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Likelihood Analysis of the I(2) Model
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables

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