Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

DOI10.3982/ECTA10306zbMath1274.62596OpenAlexW3126078292MaRDI QIDQ2859535

Michael Jansson, Morten Ørregaard Nielsen

Publication date: 8 November 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta10306

zbMATH Keywords

likelihood ratio testefficiencyunit root hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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