Displaying similar documents to “A comparison of cointegration tests”

Sign and Wilcoxon tests for quadratic versus cubic regression.

A. P. Gore, K. S. Madhava Rao (1984)

Trabajos de Estadística e Investigación Operativa

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In this paper sign and Wilcoxon tests for testing the null hypothesis of quadratic regression versus the alternative, cubic regression are proposed. It is shown that in the case of a simple design consisting of multiple Y observations at each of the four levels of x, the proposed tests perform reasonably well as compared to their parametric competitors, while in the case of a general design consisting of a large number of levels of x, the loss in Pitman efficiency is considerable. However...

Unit root test under innovation outlier contamination small sample case

Lynda Atil, Hocine Fellag, Karima Nouali (2006)

Discussiones Mathematicae Probability and Statistics

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The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.

On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test.

Carlos Tenreiro (2005)

SORT

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For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f = f and we use them to get a better understanding on the role played by the smoothing parameter in the detection of departures from the null hypothesis. When f is an univariate normal distribution and we take for kernel the standard normal density function, we compute these slopes for a set of Edgeworth alternatives which...