Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
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Recommendations
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Cited in
(15)- Portmanteau-type tests for unit-root and cointegration
- Portmanteau-type test for unit root with heavy-tailed noise
- Semiparametric testing with highly persistent predictors
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Modified unit root tests with nuisance parameter free asymptotic distributions
- Parametric and semi-parametric efficient tests for parameter instability
- Robust inference in autoregressions with multiple outliers
- Power functions and envelopes for unit root tests
- Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
- 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
- Semiparametrically optimal cointegration test
- Hybrid rank-based panel unit root tests
- Asymptotically uniformly most powerful tests for unit roots in Gaussian panels with cross-sectional dependence generated by common factors
- A class of simple distribution-free rank-based unit root tests
- The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
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