Search Results - subject:"locally best invariant test"

Inconsistency of a Unit Root Test against Stochastic Unit Root Processes

Nagakura, Daisuke - Institute for Monetary and Economic Studies, Bank of Japan - 2009

In this paper, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process...

Persistent link: https://www.econbiz.de/10008491327

Confidence sets for the date of a break in level and trend when the order of integration is unknown

Harvey, David I.; Leybourne, Stephen J. - In: Journal of Econometrics 184 (2015) 2, pp. 262-279

We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We...

Persistent link: https://www.econbiz.de/10011117410

Confidence sets for the date of a break in level and trend when the order of integration is unknown

Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 184 (2015) 2, pp. 262-279

Persistent link: https://www.econbiz.de/10011339345

An optimal test for variance components of multivariate mixed-effects linear models

Aryal, Subhash; Bhaumik, Dulal K.; Mathew, Thomas; … - In: Journal of Multivariate Analysis 124 (2014) C, pp. 166-178

In this article we derive an optimal test for testing the significance of covariance matrices of random-effects of two multivariate mixed-effects linear models. We compute the power of this newly derived test via simulation for various alternative hypotheses in a bivariate set up for unbalanced...

Persistent link: https://www.econbiz.de/10010737760

Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant

Bhowmik, Jahar L.; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2005

locally best invariant test, which in two important cases is equivalent to the one-sided t-test for a regression coefficient …

Persistent link: https://www.econbiz.de/10005149046

Tests of seasonal integration and cointegration in multivariate unobserved component models

Busetti, Fabio - Banca d'Italia - 2003

The paper considers tests of seasonal integration and cointegration for multivariate time series. The locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d....

Persistent link: https://www.econbiz.de/10005609344

Testing for Drift in a Time Series

Busettti, F.; Harvey, A. - Faculty of Economics, University of Cambridge - 2002

The paper presents various tests for assessing whether a time series is subject to drift. We first consider departures from the null hypothesis of no drift against the alternative of a deterministic and/or a non-stationary stochastic drift with initial value zero. We show that the standard...

Persistent link: https://www.econbiz.de/10005113764

Testing for Stochastic Trends in Series with Structural Breaks

Busetti, Fabio - Banca d'Italia - 2000

structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate Locally Best Invariant test …

Persistent link: https://www.econbiz.de/10005113652

Testing for the presence of a random walk in series with structural breaks

Busetti, Fabio; Harvey, Andrew - London School of Economics (LSE) - 1998

The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is derived and the asymptotic distribution obtained. Then a modified test...

Persistent link: https://www.econbiz.de/10010744886

Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.)

Busetti, Fabio; Harvey, Andrew C - Suntory and Toyota International Centres for Economics … - 1998

Persistent link: https://www.econbiz.de/10005797516