POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS

DOI10.1017/S026646660319202XzbMath1441.62759OpenAlexW2155554182MaRDI QIDQ4561952

Zhijie Xiao, Ted Juhl

Publication date: 14 December 2018

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

Full work available at URL: https://doi.org/10.1017/s026646660319202x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

On the Characteristic Function for Asymmetric Exponential Power Distributions ⋮ On the characteristic function for asymmetric Student \(t\) distributions ⋮ Testing for parameter constancy in the time series direction in panel data models

Cites Work

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• Limiting power of unit-root tests in time-series regression
• Testing for unit roots with stationary covariates
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• TESTING FOR MOVING AVERAGE REGRESSION DISTURBANCES
• Efficient Tests for an Autoregressive Unit Root
• Inversion Formulae for the Distribution of Ratios

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