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Power comparison among tests for fractional unit roots

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Author Info
Lobato, Ignacio N.
Velasco, Carlos

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Abstract

This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed alternatives.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4P37JC2-4/1/e8b0ebc66d7d21d89ddd965dc119fa94
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 1 (April)
Pages: 152-154
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:152-154

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