A new test for invertibility of moving average processes is proposed. The test is based on an explicit local approximation of the likelihood ratio. A simulation study compares the power with two previously suggested tests: a score type test and a numerical likelihood ratio test. Local to the...

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test...