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

DOI10.1016/0304-4076(90)90010-QzbMath0722.62057MaRDI QIDQ756339

Katsuto Tanaka, Seiji Nabeya

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

martingale differences; autocorrelated errors; ratios of quadratic forms; unit-root tests; AR(1) process; limiting powers; residuals from generalized least squares estimation; residuals from ordinary least squares estimation; sequence of local alternatives; time-series regression

Mathematics Subject Classification ID

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

Related Items

On the inconsistency of the unrestricted estimator of the information matrix near a unit root, Extreme Spectra of Var Models and Orders of Near‐Cointegration, ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL, A simple cointegrating rank test without vector autoregression, The distribution of the Durbin-Watson statistic in integrated and near-integrated models, Local asymptotic distribution related to the AR(1) model with dependent errors, Testing for stationarity in series with a shift in the mean. A Fredholm approach, Efficient tests for unit roots with prediction errors, 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, ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT, On the power of durbin-watson statistic against fractionally integrated processes

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