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Joint Hypothesis Tests For A Random Walk Based On Instrumental Variable Estimators

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  • Alastair Hall

Abstract

. In this paper we propose test statistics for the null hypothesis of a random walk or a random walk with drift for the case in which the innovations to the series are a moving‐average process. The statistics are based on the instrumental variable estimators proposed by Hall and by Pantula and Hall and are shown to have the limiting distributions tabulated by Dickey and Fuller.

Suggested Citation

  • Alastair Hall, 1992. "Joint Hypothesis Tests For A Random Walk Based On Instrumental Variable Estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(1), pages 29-45, January.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:1:p:29-45
    DOI: 10.1111/j.1467-9892.1992.tb00093.x
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    Cited by:

    1. Costantini, Mauro & Sen, Amit, 2016. "A simple testing procedure for unit root and model specification," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 37-54.
    2. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
    3. Hall, Alastair & Lee, Tae Yoon, 1996. "Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large," Economics Letters, Elsevier, vol. 52(3), pages 247-255, September.
    4. Sen, Amit, 2007. "On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 63-68, January.
    5. Sen, Amit, 2001. "Behaviour of Dickey-Fuller F-tests under the trend-break stationary alternative," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 257-268, December.
    6. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.

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