Testing the autoregressive parameter with the t statistic

DOI10.1016/0304-4076(85)90084-3zbMath0556.62093MaRDI QIDQ761000

John C. Nankervis, N. E. Savin

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90084-3

zbMATH Keywords

random walk hypothesis; construction of exact non-similar tests; Gaussian first-order autoregressive process; small sigma asymptotic result

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

On bootstrap inference in cointegrating regressions, Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors, Unit root testing, Trends and random walks in macroeconomic time series, Small sample testing for cointegration using the bootstrap approach, Asymptotic inference for unstable auto-regressive time series with drifts, Empirically relevant critical values for hypothesis tests: A bootstrap approach, Unit root testing in integer-valued AR(1) models, A note on bootstrapping unit root tests in the presence of a non-zero drift, Hypothesis testing in the presence of nuisance parameters, A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment, Bootstrap hypothesis testing in regression models, On the nearly nonstationary seasonal time series

Uses Software

• NAG
• nag
• AS 76

Cites Work

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