Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions

DOI10.1016/0165-1765(90)90044-2zbMath1490.62213OpenAlexW1563760784WikidataQ127064231 ScholiaQ127064231MaRDI QIDQ1676649

Anindya Banerjee, John W. Galbraith, Juan J. Dolado

Publication date: 9 November 2017

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

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90044-2

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem

Cites Work

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• Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
• Testing for Unit Roots: 2
• Towards a unified asymptotic theory for autoregression
• Time Series Regression with a Unit Root

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