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Outputs (4)

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.

Approximation for the conditional distribution of the MLE with application to autoregression (2014)
Journal Article
Marsh, P. (in press). Approximation for the conditional distribution of the MLE with application to autoregression. Advances and applications in statistics, 42(1),

The famous p* formula provides a higher-order approximation for the conditional distribution of the maximum likelihood estimator given an exact ancillary. By collating well known existing results including application of a formal higher-order expansi... Read More about Approximation for the conditional distribution of the MLE with application to autoregression.