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稳健单位根检验不应被“修改”AI 解读

The rank-based unit root tests proposed by Hasan and Koenker (1997, Econometrica 65, 133–161) have power equal to size for normal innovations. Unit root tests based on M-estimators exhibit the same behavior. The problem occurs because the test statistics are transformed to obtain computationally convenient critical values. I describe a convenient way to compute critical values without transforming the test statistics. The resulting tests are almost as powerful as least…

近积分非高斯模型中的最优推断与稳健推断AI 解读

Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813–836) derive a class of point-optimal unit root tests in a time series model with Gaussian errors. Other authors have proposed “robust” tests that are not optimal for any model but perform well when the error distribution has thick tails. I derive a class of point-optimal tests for models with non-Gaussian errors. When the true error distribution is known and has thick tails, the point-optimal tests are generally more…