Haldrup, Niels Prof.; Lildholdt, Peter - Department of Economics, University of California-San … - 2000
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...
