an:03972025
Zbl 0602.62074
Bhargava, Alok
On the theory of testing for unit roots in observed time series
EN
Rev. Econ. Stud. 53, 369-384 (1986).
00151032
1986
j
62M10 91B84 60G50
new most powerful invariant tests; unit root null hypothesis; one-sided non-stationary (non-explosive or explosive) alternative hypothesis; random walk with a constant drift; von Neumann type ratio
The paper presents some new most powerful invariant tests for the unit root null hypothesis against the one-sided non-stationary (non-explosive or explosive) alternative hypothesis, for the errors of a linear regression model. The test statistics proposed is applied to the problem of testing the random walk and the random walk with a constant drift null hypotheses against stationary and non-stationary one-sided alternatives. The test statistic corresponding to each case mentioned above is simplified to a form which can be viewed as a von Neumann type ratio, and the exact significance levels are tabulated. The paper ends with two interesting numerical applications to real-life data.
P.Stoica