On the inadmissibility of classical tests in unit-root-type situations

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We also apply our results to tests based on mixed-normal estimators (which typically occur in the analysis of cointegrating relationsships)

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Year of publication:	2004-08-11
Authors:	Ploberger, Werner
Institutions:	Econometric Society
Subject:	testing \| admissibility \| nonstationarity

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Series:	Econometric Society 2004 North American Winter Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society North American Winter Meetings 2004 Number 461
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005328960