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Keyword: locally best invariant test;
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Fabio Busetti and Andrew C Harvey
The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is d...Read more...
December 1998
Andrew C Harvey and Mariane Streibel
A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...
March 1996