ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS

Werner Ploberger

Econometric Theory, 2008, vol. 24, issue 1, 15-42

Abstract: This paper investigates the asymptotic behavior of tests in situations where the likelihood is locally asymptotically quadratic. Necessary and sufficient conditions are given for a test to be admissible. Even without these restrictive parametric assumptions, it is shown that certain common procedures—such as the augmented Dickey–Fuller test in cases where no deterministic trend is present or standard tests for restrictions on cointegrating relationships—are asymptotically inadmissible. These results confirm the existence of tests that dominate these classical tests for all parameters.I express my gratitude to the editors, H. Lütkepohl and especially Peter C.B. Phillips, for their help, which enormously exceeded the usual amount of support. Also I thank the referees for their helpful comments. Their contribution greatly improved the paper. All remaining errors are mine.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Admissible and Nonadmissible Test in Unit-Root-like Situations (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:01:p:15-42_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().