Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose asymptotic local power functions are virtually indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We study the large sample properties of a quasi-likelihood ratio unit root test based on a Gaussian likelihood and show that this test is nearly efficient.

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Year of publication:	2009-08
Authors:	Jansson, Michael ; Nielsen, Morten Ørregaard
Institutions:	Economics Department, Queen's University
Subject:	Efficiency \| likelihood ratio test \| unit root hypothesis

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1213 16 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004967621