Local power functions of tests for double unit roots

Niels Haldrup () and Peter Lildholdt

Statistica Neerlandica, 2005, vol. 59, issue 2, 159-179

Abstract: The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein‐Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9574.2005.00285.x

Related works:
Working Paper: Local Power Functions of Tests for Double Unit Roots (2000)
Working Paper: Local Power Functions of Tests for Double Unit Roots
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:59:y:2005:i:2:p:159-179

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().