Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution
AbstractResearchers desire powerful tests for unit roots. This paper derives the family of asymptotically most powerful tests for unit roots when the initial condition is drawn from its unconditional distribution under the alternative. This enables both the examination of previously proposed statistics and the construction of powerful tests against this alternative model. Copyright 1999 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 40 (1999)
Issue (Month): 3 (August)
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Other versions of this item:
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
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