Limiting power of unit-root tests in time-series regression
DOI10.1016/0304-4076(90)90010-QzbMATH Open0722.62057OpenAlexW2084881743MaRDI QIDQ756339FDOQ756339
Authors: Seiji Nabeya, Katsuto Tanaka 
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(90)90010-q
Recommendations
ratios of quadratic formsmartingale differencesautocorrelated errorsunit-root testsAR(1) processlimiting powersresiduals from generalized least squares estimationresiduals from ordinary least squares estimationsequence of local alternativestime-series regression
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Cited In (28)
- Efficient tests for unit roots with prediction errors
- Power of a Unit-Root Test and the Initial Condition
- Extreme Spectra of Var Models and Orders of Near‐Cointegration
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Ratio tests under limiting normality
- Testing for stationarity in series with a shift in the mean. A Fredholm approach
- On the inconsistency of the unrestricted estimator of the information matrix near a unit root
- Minimizing the impact of the initial condition on testing for unit roots
- A note on the power of least squares tests for a unit root
- Boundary limit theory for functional local to unity regression
- ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
- Convergence of some quadratic forms used in regression analysis
- The limiting density of unit root test statistics: A unifying technique
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- The distribution of the Durbin-Watson statistic in integrated and near-integrated models
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- Powerful unit root tests free of nuisance parameters
- Local power functions of tests for double unit roots
- On the power of durbin-watson statistic against fractionally integrated processes
- The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
- Temporal aggregation and the power of tests for a unit root
- Power functions and envelopes for unit root tests
- Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests
- A simple cointegrating rank test without vector autoregression
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- Generalized local-to-unity models
- Testing for the cointegrating rank of a VAR process with a time trend
- Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
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