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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Authors:	Haldrup, Niels ; Lildholdt, Peter
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Asymptotic local power function \| Brownian motion \| Ornstein-Uhlenbeck process

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787465