Researchers 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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Article 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) Pages: 767-83 Download reference. The following formats are available: HTML
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