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A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series

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  • Swensen, Anders Rygh

Abstract

In the AR(2) model, with a double root at unity, we consider the asymptotic distribution of the likelihood ratio with respect to a nearly nonstationary alternative. It is shown how the distribution can be represented as a Radon-Nikodym derivative of an Ito process with respect to Brownian motion. Using this result, we point out how standard contiguity arguments can be applied to obtain a representation of the asymptotic power function in nearly nonstationary alternatives.

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  • Swensen, Anders Rygh, 1993. "A Note on Asymptotic Power Calculations in Nearly Nonstationary Time Series," Econometric Theory, Cambridge University Press, vol. 9(04), pages 659-667, August.
  • Handle: RePEc:cup:etheor:v:9:y:1993:i:04:p:659-667_00
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    Cited by:

    1. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179.

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