Limiting power of unit-root tests in time-series regression

DOI10.1016/0304-4076(90)90010-QMaRDI QIDQ756339zbMATHOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
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• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
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• Computing the distribution of quadratic forms in normal variables
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• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On the Theory of Testing for Unit Roots in Observed Time Series
• Regression Theory for Near-Integrated Time Series
• Testing For Unit Roots: 1
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Testing for Unit Roots: 2
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(28)

• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• Power functions and envelopes for unit root tests
• Power of a Unit-Root Test and the Initial Condition
• Minimizing the impact of the initial condition on testing for unit roots
• Efficient tests for unit roots with prediction errors
• Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
• Generalized local-to-unity models
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests
• Boundary limit theory for functional local to unity regression
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
• Powerful unit root tests free of nuisance parameters
• Ratio tests under limiting normality
• A simple cointegrating rank test without vector autoregression
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• Local power functions of tests for double unit roots
• On the inconsistency of the unrestricted estimator of the information matrix near a unit root
• On the power of durbin-watson statistic against fractionally integrated processes
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• The limiting density of unit root test statistics: A unifying technique
• Testing for the cointegrating rank of a VAR process with a time trend
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• A note on the power of least squares tests for a unit root
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Convergence of some quadratic forms used in regression analysis
• Temporal aggregation and the power of tests for a unit root

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