Admissible and Nonadmissible Test in Unit-Root-like Situations
AbstractIn this paper I investigate the asymptotic behavior of tests for problems with locally asymptotically quadratic likelihood. I present necessary and sufficient conditions for a test to be admissible. Even without these restrictive parametric assumptions, I can show that certain common procedures - like the ADF-test in case no deterministic trend is present or standard tests for restrictions on cointegrating relationships are asymptotically inadmissible. Hence we show the existence of tests which dominate these classical tests for all parameters
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 555.
Date of creation: 11 Aug 2004
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Test; unit roots; locally asymptotically quadratic;
Other versions of this item:
- Ploberger, Werner, 2008. "Admissible And Nonadmissible Tests In Unit-Root-Like Situations," Econometric Theory, Cambridge University Press, vol. 24(01), pages 15-42, February.
- 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 &bull Diffusion Processes
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- 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.
- Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print peer-00834424, HAL.
- 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.
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