Constructing Optimal tests on a Lagged dependent variable

DOI10.1111/J.1467-9892.2007.00536.XzbMath1150.62049OpenAlexW2161172168MaRDI QIDQ3505326

Patrick Marsh

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00536.x

zbMATH Keywords

nuisance parameterunit rootsDickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Nonparametric estimation of multivariate elliptic densities via finite mixture sieves ⋮ Bootstrap point optimal unit root tests ⋮ COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor

Cites Work

• Optimal weighted average power similar tests for the covariance structure in the linear regression model
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Integration Versus Trend Stationary in Time Series
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root

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