The exact power envelope of tests for a unit root
The exact power envelope of tests for a unit root
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.
power envelope, unit root tests
University of Southampton
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
King, Maxwell L.
0954e195-ee75-4ca4-9ee2-81aa7be6ff04
2000
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
King, Maxwell L.
0954e195-ee75-4ca4-9ee2-81aa7be6ff04
Podivinsky, Jan M. and King, Maxwell L.
(2000)
The exact power envelope of tests for a unit root
(Discussion Papers in Economics and Econometrics, 26)
Southampton, UK.
University of Southampton
15pp.
Record type:
Monograph
(Discussion Paper)
Abstract
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.
More information
Published date: 2000
Additional Information:
JEL classification: C12, C22
Keywords:
power envelope, unit root tests
Identifiers
Local EPrints ID: 32895
URI: http://eprints.soton.ac.uk/id/eprint/32895
PURE UUID: 71ca9592-544d-4d2d-b4ae-ddea0bdd125b
Catalogue record
Date deposited: 18 Jul 2006
Last modified: 16 Mar 2024 02:33
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Contributors
Author:
Maxwell L. King
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