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On the inconsistency of the unrestricted estimator of the information matrix near a unit root

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  • Tassos Magdalinos

Abstract

converges to a non-degenerate random variable and contributes to the asymptotic distribution of a Wald test for the null hypothesis of a random walk versus a stable AR(1) alternative. With this newly derived asymptotic distribution, the above Wald test is found to improve its performance. A non-local criterion of asymptotic relative efficiency based on Bahadur slopes has been employed for the first time to the problem of unit root testing. The Wald test derived in the paper is found to be as efficient as the Dickey Fuller t ratio test and to outperform the non-studentised Dickey Fuller test and a Lagrange Multiplier test. Copyright Royal Economic Society 2007

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  • Tassos Magdalinos, 2007. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 245-262, July.
    • Handle: RePEc:ect:emjrnl:v:10:y:2007:i:2:p:245-262
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    Cited by:

    1. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.

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