All Outputs (2)

The role of information in nonstationary regression (2019)
Journal Article

The role of standard likelihood based measures of information and efficiency is unclear when regressions involve nonstationary data. Typically the standardized score is not asymptotically Gaussian and the standardized Hessian has a stochastic, rather... Read More about The role of information in nonstationary regression.

Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends (2019)
Journal Article

This paper details a precise analytic e¤ect that inclusion of a linear trend has on the power of Neyman-Pearson point optimal unit root tests and thence the power envelope. Both stationary and explosive alternatives are considered. The envelope can b... Read More about Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends.