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Admissible And Nonadmissible Tests In Unit-Root-Like Situations

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  • Ploberger, Werner

Abstract

This paper investigates the asymptotic behavior of tests in situations where the likelihood is locally asymptotically quadratic. Necessary and sufficient conditions are given for a test to be admissible. Even without these restrictive parametric assumptions, it is shown that certain common procedures—such as the augmented Dickey–Fuller test in cases where no deterministic trend is present or standard tests for restrictions on cointegrating relationships—are asymptotically inadmissible. These results confirm the existence of tests that dominate these classical tests for all parameters.I express my gratitude to the editors, H. Lütkepohl and especially Peter C.B. Phillips, for their help, which enormously exceeded the usual amount of support. Also I thank the referees for their helpful comments. Their contribution greatly improved the paper. All remaining errors are mine.

Suggested Citation

  • Ploberger, Werner, 2008. "Admissible And Nonadmissible Tests In Unit-Root-Like Situations," Econometric Theory, Cambridge University Press, vol. 24(1), pages 15-42, February.
    • Handle: RePEc:cup:etheor:v:24:y:2008:i:01:p:15-42_08
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    Cited by:

    1. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
    2. repec:hal:journl:peer-00834424 is not listed on IDEAS
    3. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
    4. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Other publications TiSEM 004c9726-ec6a-4884-8238-d, Tilburg University, School of Economics and Management.
    5. Zhou, Bo, 2017. "Semiparametric inference for non-LAN models," Other publications TiSEM 0ea4fd8a-937d-4c19-8f77-f, Tilburg University, School of Economics and Management.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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