On the inadmissibility of classical tests in unit-root-type situations

Werner Ploberger

No 461, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We also apply our results to tests based on mixed-normal estimators (which typically occur in the analysis of cointegrating relationsships)

Keywords: testing; admissibility; nonstationarity (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:461

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