We propose a class of statistics where the direction of one of the alternatives is incorporated. We modify a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to compute, they do not require the re-estimation of models subject to one-sided inequality restrictions, and their distributions do not require bounds-based inference. We derive exact explicit distributions, then prove some desirable properties of our class of modified tests. We then illustrate the relevance of the method by applying it to devising an improved test of random walks in autoregressive models with deterministic components. In this example, the usual alternative to a unit root is one-sided in the direction of stable roots, while deterministic components are allowed to go either way, and we show that it is beneficial to take the partially one-sided nature of the alternative into account.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Department of Economics, University of York in its series Discussion Papers with number
05/13.
Length: Date of creation: Date of revision: Handle: RePEc:yor:yorken:05/13
Contact details of provider: Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom Phone: (0)1904 433776 Fax: (0)1904 433759 Email: Web page: http://www.york.ac.uk/depts/econ/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Paul Hodgson).
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".