Ratio tests of a unit root

Teruo Nakatsuma, Elena Gouskova, Jinichi Uemura, Hiroki Tsurumi

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)2547-2571
Number of pages25
JournalCommunications in Statistics - Theory and Methods
Volume29
Issue number11
Publication statusPublished - 2000

Keywords

  • Locally best invariant test
  • Point optimal test
  • Unit root

ASJC Scopus subject areas

  • Statistics and Probability

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