Efficient Tests for a Unit Root When the Initial Observation is Drawn From Its Unconditional Distribution
- 1 August 1999
- journal article
- Published by Wiley in International Economic Review
- Vol. 40 (3) , 767-784
- https://doi.org/10.1111/1468-2354.00039
Abstract
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.Keywords
This publication has 0 references indexed in Scilit: