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Admissible and Nonadmissible Test in Unit-Root-like Situations

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Author Info
Werner Ploberger

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Abstract

In 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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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 555.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:555

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Related research
Keywords: Test; unit roots; locally asymptotically quadratic;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

Cited by:
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  1. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," ECARES Working Papers 2009_001, Université Libre de Bruxelles, Ecares. [Downloadable!]
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This page was last updated on 2009-12-2.

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