Ratio tests of a unit root

Teruo Nakatsuma; Elena Gouskova; Jinichi Uemura; Hiroki Tsurumi

Ratio tests of a unit root

Teruo Nakatsuma, Elena Gouskova, Jinichi Uemura, Hiroki Tsurumi

Faculty of Economics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.

Original language	English
Pages (from-to)	2547-2571
Number of pages	25
Journal	Communications in Statistics - Theory and Methods
Volume	29
Issue number	11
Publication status	Published - 2000

Keywords

Locally best invariant test
Point optimal test
Unit root

ASJC Scopus subject areas

Statistics and Probability

Cite this

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AU - Nakatsuma, Teruo

AU - Gouskova, Elena

AU - Uemura, Jinichi

AU - Tsurumi, Hiroki

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N2 - Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.

AB - Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.

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KW - Point optimal test

KW - Unit root

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Ratio tests of a unit root

Abstract

Keywords

ASJC Scopus subject areas

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