Some properties of exact tests for unit roots

DOI10.1093/biomet/83.4.944zbMath0883.62096OpenAlexW2069899537MaRDI QIDQ4364966

Alok Bhargava

Publication date: 18 November 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/83.4.944

zbMATH Keywords

random walkautoregressive modelseasonal time seriesmost powerful invariant testsexact stationary and nonstationary densitiesunit root null hypotheses

Mathematics Subject Classification ID

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

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