Some properties of exact tests for unit roots

DOI10.1093/BIOMET/83.4.944MaRDI QIDQ4364966zbMATH OpenOpenAlexFDO

Authors Alok Bhargava

Publication date 18 November 1997

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/83.4.944

zbMATH Keywords

autoregressive modelexact stationary and nonstationary densitiesmost powerful invariant testsrandom walkseasonal time seriesunit root null hypotheses

Mathematics Subject Classification ID

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

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Cited in

(16)

• Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.
• Exact tests in single equation autoregressive distributed lag models
• The available information for invariant tests of a unit root
• A comparison of alternative unit root tests
• Testing for Unit Roots: 2
• A Simplified Version of the Differencing Test
• On the Theory of Testing for Unit Roots in Observed Time Series
• Ratio tests of a unit root
• Editor's introduction: Analysis of financial data
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• Efficient Tests for an Autoregressive Unit Root
• A note on the geometry and power of unit root tests
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Time series properties of aggregate output fluctuations
• Limiting power of unit-root tests in time-series regression
• A chi-square test for a unit root

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