Ratio tests of a unit root

DOI10.1080/03610920008832622MaRDI QIDQ4541678zbMATH OpenOpenAlexFDO

Authors Teruo Nakatsuma, Elena Gouskova, Jinichi Uemura, Hiroki Tsurumi

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832622

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A point optimal test for autoregressive disturbances
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Cited in

(8)

• Power comparison among tests for fractional unit roots
• A consistent test for unit root against fractional alternative
• Nearly efficient likelihood ratio tests of the unit root hypothesis
• The available information for invariant tests of a unit root
• Highly Insignificant F-Ratios
• A Detrended Range Unit Root (DRUR) Test
• Wavelet energy ratio unit root tests
• Ratio tests under limiting normality

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