Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends
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Publication:5111783
DOI10.1111/jtsa.12458zbMath1442.62043OpenAlexW2924156967WikidataQ128128700 ScholiaQ128128700MaRDI QIDQ5111783
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/19-03.pdf
Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Exact distribution theory in statistics (62E15) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)
Cites Work
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- Asymptotic inference for nearly nonstationary AR(1) processes
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- THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Towards a unified asymptotic theory for autoregression
- Boundary Limit Theory for Functional Local to Unity Regression
- Time Series Regression with a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- 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
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