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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...
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...