Local Power Functions of Tests for Double Unit Roots

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

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Year of publication:	2000-06-05
Authors:	Haldrup, Niels Prof. ; Lildholdt, Peter
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	Asymptotic local power function \| Brownian motion \| Ornstein-Uhlenbeck process

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010536451