Efficient tests for unit roots with prediction errors

DOI10.1016/S0378-3758(01)00313-5zbMath1038.62083OpenAlexW2050876314MaRDI QIDQ1869150

Ismael Sánchez

Publication date: 9 April 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00313-5

zbMATH Keywords

Unit rootsTablesOptimal testsPredictive mean squared error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

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