Unit root testing in the presence of innovation variance breaks: a simple solution with increased power.

Cook, Steven

The search session has expired. Please query the service again.

Displaying similar documents to “Unit root testing in the presence of innovation variance breaks: a simple solution with increased power.”

Unit root test under innovation outlier contamination small sample case

Lynda Atil, Hocine Fellag, Karima Nouali (2006)

Discussiones Mathematicae Probability and Statistics

Similarity:

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.

Sample size determination in the Mann–Whitney test

Andrzej Kornacki, Andrzej Bochniak, Agnieszka Kubik-Komar (2017)

Biometrical Letters

Similarity:

This paper discusses the problem of determining the number of observations necessary to apply the nonparametric Mann-Whitney test. We describe the method given by Noether (1987) for determining a sample size which guarantees that the Mann-Whitney test at a given significance level α has a predetermined power 1-β. The presented theory is tested by calculating the empirical power in computer simulations. The paper also raises the issue of the method of rounding the determined sample size...

Tests of independence of normal random variables with known and unknown variance ratio

Edward Gąsiorek, Andrzej Michalski, Roman Zmyślony (2000)

Discussiones Mathematicae Probability and Statistics

Similarity:

In the paper, a new approach to construction test for independenceof two-dimensional normally distributed random vectors is given under the assumption that the ratio of the variances is known. This test is uniformly better than the t-Student test. A comparison of the power of these two tests is given. A behaviour of this test forsome ε-contamination of the original model is also shown. In the general case when the variance ratio is unknown, an adaptive test is presented. The equivalence...

On testing variance components in unbalanced mixed linear model

Lýdia Širková, Viktor Witkovský (2001)

Applications of Mathematics

Similarity:

The paper presents some approximate and exact tests for testing variance components in general unbalanced mixed linear model. It extends the results presented by Seifert (1992) with emphasis on the computational aspects of the problem.

A robust test for variance

W. Zieliński (1991)

Applicationes Mathematicae

Similarity:

Generalised score and Wald tests.

Rippon, Paul, Rayner, J.C.W. (2010)

Advances in Decision Sciences

Similarity:

The behavior of locally most powerful tests

Marek Omelka (2005)

Kybernetika

Similarity:

The locally most powerful (LMP) tests of the hypothesis $H : θ = θ_{0}$ against one-sided as well as two-sided alternatives are compared with several competitive tests, as the likelihood ratio tests, the Wald-type tests and the Rao score tests, for several distribution shapes and for location, shape and vector parameters. A simulation study confirms the importance of the condition of local unbiasedness of the test, and shows that the LMP test can sometimes dominate the other tests only in a very restricted...

On Seifert's ANOVA-like test for variance components

Viktor Witkovský (2000)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

Similarity: