Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution

被引：136

作者：

Elliott, G ^{[1
]}

机构：

[1] Univ Calif San Diego, La Jolla, CA 92093 USA

来源：

INTERNATIONAL ECONOMIC REVIEW | 1999年 / 40卷 / 03期

关键词：

D O I：

10.1111/1468-2354.00039

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Researchers desire powerful tests for unit roots. This paper derives the family of asymptotically most powerful tests for unit roots when the initial condition is drawn from its unconditional distribution under the alternative. This enables both the examination of previously proposed statistics and the construction of powerful tests against this alternative model.

引用

页码：767 / 783

页数：17

共 13 条

[1]

Bobkoski MJ., 1983, THESIS U WISCONSIN

[2]

CAVANAGH C, 1985, UNPUB ROOTS LOCAL UN

[3] ASYMPTOTIC INFERENCE FOR NEARLY NONSTATIONARY AR(1) PROCESSES [J].