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Marginal likelihood and unit roots

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  • Francke, Marc K.
  • de Vos, Aart F.

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  • Francke, Marc K. & de Vos, Aart F., 2007. "Marginal likelihood and unit roots," Journal of Econometrics, Elsevier, vol. 137(2), pages 708-728, April.
    • Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:708-728
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    Cited by:

    1. Marc K. Francke & Siem Jan Koopman & Aart F. De Vos, 2010. "Likelihood functions for state space models with diffuse initial conditions," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 407-414, November.
    2. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    3. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
    4. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    5. Sriananthakumar, Sivagowry, 2013. "Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach," Economic Modelling, Elsevier, vol. 33(C), pages 126-136.
    6. Bent Nielsen, 2008. "Power of Tests for Unit Roots in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 619-644, October.
    7. Willa W. Chen & Rohit S. Deo, 2009. "The restricted likelihood ratio test at the boundary in autoregressive series," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 618-630, November.

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