Testing joint hypotheses when one of the alternatives is one-sided

DOI10.1016/j.jeconom.2006.07.022zbMath1247.62144OpenAlexW3123442973MaRDI QIDQ451289

Walter Distaso, Karim M. Abadir

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.022

zbMATH Keywords

hypergeometric functionsexact distributionsmixed one-sided and two-sided alternativestest powersunit-root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Testing for unit root processes in random coefficient autoregressive models ⋮ On Monte Carlo estimation of relative power ⋮ A unit root test against globally stationary ESTAR models when local condition is non-stationary ⋮ A unit root test based on smooth transitions and nonlinear adjustment ⋮ A new unit root test against ESTAR based on a class of modified statistics ⋮ Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models ⋮ Nonlinear error correction based cointegration test in panel data ⋮ Testing for a unit root in a random coefficient panel data model ⋮ Residual-based rank specification tests for AR-GARCH type models

Uses Software

• longmemo

Cites Work

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