All Outputs (2)

The role of information in nonstationary regression (2019)
Journal Article
Marsh, P. (2019). The role of information in nonstationary regression. Statistics, 53(3), 656-672. https://doi.org/10.1080/02331888.2019.1605516

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
Marsh, P. (2020). Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends. Journal of Time Series Analysis, 41(1), 146-153. https://doi.org/10.1111/jtsa.12458

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.