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Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
Deng, Ai - In: Economics letters 107 (2010) 1, pp. 22-25
Persistent link: https://www.econbiz.de/10003970817
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Local Power of Consistent Tests for Serial Correlation Against Nearly Integrated, Nearly White Noise Process
Deng, Ai - 2015
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
Persistent link: https://www.econbiz.de/10013009355
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Testing for a unit root in a time series with a changing mean
Perron, Pierre - 1989 - Rev
Persistent link: https://www.econbiz.de/10000787067
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Test consistency with varying sampling frequency
Perron, Pierre - 1989 - Rev
Persistent link: https://www.econbiz.de/10000787072
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Test consistency with varying sampling frequency
Perron, Pierre - In: Econometric theory 7 (1991) 3, pp. 341-368
Persistent link: https://www.econbiz.de/10001118058
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Testing for a unit root in a time series with a changing mean
Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 2, pp. 153-162
Persistent link: https://www.econbiz.de/10001086821
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Pitfalls and opportunities : what macroeconomists should know about unit roots
Campbell, John Y.; Perron, Pierre - 1991 - Rev
Persistent link: https://www.econbiz.de/10000831368
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Nonstationarity and level shifts with an application to purchasing power parity
Perron, Pierre; Vogelsang, Timothy J. - 1991 - Rev
Persistent link: https://www.econbiz.de/10000831369
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The effect of seasonal adjustment filters on tests for a unit root
Ghysels, Eric; Perron, Pierre - 1990
Persistent link: https://www.econbiz.de/10000809708
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Additional tests for a unit root allowing for a break in the trend function at an unknown time
Vogelsang, Timothy J. - In: International economic review 39 (1998) 4, pp. 1073-1100
Persistent link: https://www.econbiz.de/10001338799