COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS

DOI10.1017/S0266466618000324zbMath1432.62284OpenAlexW2972953542MaRDI QIDQ5243486

Katsuto Tanaka

Publication date: 18 November 2019

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

Full work available at URL: https://doi.org/10.1017/s0266466618000324

zbMATH Keywords

error components modelmoving average (MA) modelheterogeneous regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Incidental trends and the power of panel unit root tests
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Testing for stationarity in heterogeneous panel data
• Time Series Analysis
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS
• Linear Regression Limit Theory for Nonstationary Panel Data
• Mean group tests for stationarity in heterogeneous panels
• Computing the distribution of quadratic forms in normal variables

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