Local Power of Consistent Tests for Serial Correlation Against Nearly Integrated, Nearly White Noise Process

We show that any consistent tests for serial correlation have unit local power against the nearly integrated, nearly white noise process. The expected higher power is confirmed in finite sample Monte Carlo simulations

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Year of publication:	2015
Authors:	Deng, Ai
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Statistischer Test \| Statistical test \| Schätztheorie \| Estimation theory \| Einheitswurzeltest \| Unit root test \| Statistische Methodenlehre \| Statistical theory \| Autokorrelation \| Autocorrelation
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 107, No. 1, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt Volltext nicht verfügbar
Classification:	C12 - Hypothesis Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013009355