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Admissible And Nonadmissible Tests In Unit-Root-Like Situations

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  • Ploberger, Werner

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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Suggested Citation

  • Ploberger, Werner, 2008. "Admissible And Nonadmissible Tests In Unit-Root-Like Situations," Econometric Theory, Cambridge University Press, vol. 24(01), 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. repec:hal:journl:peer-00834424 is not listed on IDEAS
    2. Zhou, Bo, 2017. "Semiparametric inference for non-LAN models," Other publications TiSEM 0ea4fd8a-937d-4c19-8f77-f, Tilburg University, School of Economics and Management.
    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. 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.
    5. 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)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.

    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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