Semiparametrically point-optimal hybrid rank tests for unit roots

DOI10.1214/18-AOS1758zbMath1469.62330arXiv1806.09304OpenAlexW3105242480MaRDI QIDQ2328053

Yanyan Li

Publication date: 9 October 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.09304

zbMATH Keywords

unit root testmaximal invariantlimit experimentrank statisticLABFsemiparametric power envelope

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Semiparametrically point-optimal hybrid rank tests for unit roots ⋮ Semiparametric testing with highly persistent predictors

Uses Software

• itsmr
• ITSM2000

Cites Work

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