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The exact power envelope of tests for a unit root

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
26
University of Southampton
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
King, Maxwell L.
0954e195-ee75-4ca4-9ee2-81aa7be6ff04
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 Southampton, UK. University of Southampton 15pp. (Discussion Papers in Economics and Econometrics, 26)

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.

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Published date: 2000
Additional Information: JEL classification: C12, C22
Keywords: power envelope, unit root tests

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Local EPrints ID: 32895
URI: https://eprints.soton.ac.uk/id/eprint/32895
PURE UUID: 71ca9592-544d-4d2d-b4ae-ddea0bdd125b

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Date deposited: 18 Jul 2006
Last modified: 17 Jul 2017 15:54

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Author: Maxwell L. King

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