A note on the power of least squares tests for a unit root

DOI10.1016/0165-1765(87)90125-XzbMATH Open1328.62547OpenAlexW2029178348MaRDI QIDQ899993FDOQ899993

Authors: Kenneth D. West 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90125-x

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Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Asymptotic Normality, When Regressors Have a Unit Root
• On the Theory of Testing for Unit Roots in Observed Time Series

Cited In (13)

• Near-integration and deterministic trends
• Power of a Unit-Root Test and the Initial Condition
• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• Unit root testing
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• Unit root test combination via random forests
• Some properties of exact tests for unit roots
• Title not available (Why is that?)
• Temporal aggregation and the power of tests for a unit root
• Title not available (Why is that?)
• The power of unit root tests against nonlinear local alternatives

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