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Power comparison of invariant unit root tests

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  • Dimitrios Vougas

Abstract

In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

Suggested Citation

  • Dimitrios Vougas, 2008. "Power comparison of invariant unit root tests," Applied Economics Letters, Taylor & Francis Journals, vol. 15(7), pages 509-512.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:7:p:509-512
    DOI: 10.1080/13504850600706628
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