Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples

DOI10.1080/07474930802467282zbMath1168.62079OpenAlexW1983343977MaRDI QIDQ3394107

Marc S. Paolella, Simon A. Broda, Kai-Uwe Carstensen

Publication date: 28 August 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802467282

zbMATH Keywords

GLS detrendingrecursive detrendingpower loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

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Cites Work

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