On Monte Carlo estimation of relative power

DOI10.1111/1368-423X.00073zbMath1009.62080MaRDI QIDQ4551783

Paolo Paruolo

Publication date: 28 August 2002

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

zbMATH Keywords

likelihood ratiocointegrationunit root testsMonte Carlo estimatorslocal power

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) General considerations in statistical decision theory (62C05)

Related Items

Tests for cointegration rank and choice of the alternative, Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples

Cites Work

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