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The Exact Power Envelope of Tests for a Unit Root Author info | Abstract | Publisher info | Download info | Related research | Statistics Podivinsky, J M
King, M L
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We show how to obtain the exact power envelope of tests for a unit root against trend-stationary alternatives, under normality. This is in contrast to the asymptotic power envelope derived by Elliott, Rothenberg and Stock (1996), and is used to indicate the lack of power of unit root tests in fixed sample sizes.
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Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number
0026.
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Date of creation: 01 Jan 2000Date of revision:
Handle: RePEc:stn:sotoec:0026Contact details of provider: Postal: Highfield, Southampton SO17 1BJ Phone: (+44) 23 80592537 Fax: (+44) 23 80593858 Email: Web page: http://www.economics.soton.ac.uk/ More information through EDIRC
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Other versions: Ansley, Craig F. & Kohn, Robert & Shively, Thomas S., 1992.
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Discussion Paper Series In Economics And Econometrics
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Other versions: West, Kenneth D, 1988.
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Econometrica ,
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Michael Artis & Massimiliano Marcellino, .
"Fiscal Solvency and Fiscal Forecasting in Europe ,"
Working Papers
142, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
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Artis, Michael J & Marcellino, Massimiliano, 1998.
"Fiscal Solvency and Fiscal Forecasting in Europe ,"
CEPR Discussion Papers
1836, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Artis, M. & Marcellino, M., 1998.
"Fiscal Solvency and Fiscal Forecasting in Europe ,"
Economics Working Papers
eco98/2, European University Institute.
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