Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

DOI10.1016/0304-4076(91)90080-WzbMATH Open0729.62079OpenAlexW2263785007MaRDI QIDQ806872FDOQ806872

Authors: Jean-Marie Dufour, Maxwell L. King 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90080-w

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zbMATH Keywords

tests for independenceautocorrelation coefficientlocally best invariantfirst-order autoregressive normal disturbancesnumerical power comparisonsoptimal invariant testspoint-optimal invariant teststests for unit-root hypotheses

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Cites Work

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Cited In (42)

• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Size and power of tests of stationarity in highly autocorrelated time series
• Optimal weighted average power similar tests for the covariance structure in the linear regression model
• Point optimal tests of the null hypothesis of cointegration
• Exact tests for structural change in first-order dynamic models
• WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL
• Title not available (Why is that?)
• BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
• Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Marginal likelihood and unit roots
• Efficient tests for unit roots with prediction errors
• GLS detrending and unit root testing
• Semiparametrically point-optimal hybrid rank tests for unit roots
• A point optimal test for autoregressive disturbances
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Finite sample behaviour of the level shift model using quasi-differenced data
• Testing for unit root processes in random coefficient autoregressive models
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• UNIT ROOT TESTS WITH WAVELETS
• Alternative methods of detrending and the power of unit root tests
• Asymptotics of tests for a unit root in autoregression
• Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
• COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• Improved inference for first-order autocorrelation using likelihood analysis
• Ratio tests of a unit root
• A complete class of tests when the likelihood is locally asymptotically quadratic.
• GLS detrending, efficient unit root tests and structural change.
• Constructing Optimal tests on a Lagged dependent variable
• IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
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• Exact tests in single equation autoregressive distributed lag models

Uses Software

• AS 155

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