Limiting power of unit-root tests in time-series regression
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Publication:756339
DOI10.1016/0304-4076(90)90010-QzbMath0722.62057OpenAlexW2084881743MaRDI QIDQ756339
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(90)90010-q
martingale differencesautocorrelated errorsratios of quadratic formsunit-root testsAR(1) processlimiting powersresiduals from generalized least squares estimationresiduals from ordinary least squares estimationsequence of local alternativestime-series regression
Related Items (18)
Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ Minimizing the impact of the initial condition on testing for unit roots ⋮ POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS ⋮ Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Testing for the cointegrating rank of a VAR process with a time trend ⋮ ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL ⋮ On the inconsistency of the unrestricted estimator of the information matrix near a unit root ⋮ A simple cointegrating rank test without vector autoregression ⋮ Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances ⋮ Extreme Spectra of Var Models and Orders of Near‐Cointegration ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS ⋮ ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT ⋮ On the power of durbin-watson statistic against fractionally integrated processes ⋮ Ratio tests under limiting normality ⋮ The distribution of the Durbin-Watson statistic in integrated and near-integrated models ⋮ Efficient tests for unit roots with prediction errors
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