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Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

Persistent link: https://www.econbiz.de/10012216176

Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models

Komunjer, Ivana; Zhu, Yinchu - In: Journal of econometrics 218 (2020) 2, pp. 561-586

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Estimation of the parameters of a Markov-modulated loss process in insurance

Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 388-404

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Sequential unit root test for first-order autoregressive processes with initial values

Jin, Jianwei; Nagai, Keiji - 2022

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Testing the eigenvalue structure of spot and integrated covariance

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Hidden semi-Markov models for rainfall-related insurance claims

Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023

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Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

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Mixture periodic GARCH models : theory and applications

Hamdi, Fayçal; Souam, Saïd - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1925-1956

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Optimal adaptive sequential calibration of option models

Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018

Persistent link: https://www.econbiz.de/10011898632