Local Power of Andrews and Ploberger Tests Against Nearly Integrated, Nearly White Noise Process
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References listed on IDEAS
- Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation for Research in Economics, Yale University.
- Pierre Perron & Serena Ng, 1996.
"Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties,"
Review of Economic Studies,
Oxford University Press, vol. 63(3), pages 435-463.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
- Nabeya, Seiji & Perron, Pierre, 1994.
"Local asymptotic distribution related to the AR(1) model with dependent errors,"
Journal of Econometrics,
Elsevier, vol. 62(2), pages 229-264, June.
- Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
- Maxwell L. King & Michael McAleer, 1987. "Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Oxford University Press, vol. 54(4), pages 649-663.
- repec:oup:jfinec:v:12:y:2014:i:1:p:122-150. is not listed on IDEAS
- Ai Deng, 2014.
"Understanding Spurious Regression in Financial Economics,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 12(1), pages 122-150.
- Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150, December.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
More about this item
KeywordsARMA(1; 1); local power; Nearly integrated; nearly white noise process; stock returns;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
StatisticsAccess and download statistics
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