# On the inconsistency of the unrestricted estimator of the information matrix near a unit root

*Tassos Magdalinos*

*Econometrics Journal*, 2007, vol. 10, issue 2, pages 245-262

**Abstract:**
converges to a non-degenerate random variable and contributes to the asymptotic distribution of a Wald test for the null hypothesis of a random walk versus a stable AR(1) alternative. With this newly derived asymptotic distribution, the above Wald test is found to improve its performance. A non-local criterion of asymptotic relative efficiency based on Bahadur slopes has been employed for the first time to the problem of unit root testing. The Wald test derived in the paper is found to be as efficient as the Dickey Fuller t ratio test and to outperform the non-studentised Dickey Fuller test and a Lagrange Multiplier test. Copyright Royal Economic Society 2007

**Date:** 2007

**References:** Add references at CitEc

**Citations** Track citations by RSS feed

**Downloads:** (external link)

http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00207.x link to full text (text/html)

Access to full text is restricted to subscribers.

**Related works:**

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:** http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:2:p:245-262

**Ordering information:** This journal article can be ordered from

http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by *Richard J. Smith*, *Oliver Linton*, *Pierre Perron*, *Jaap Abbring* and *Marius Ooms*

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.

Series data maintained by Wiley-Blackwell Digital Licensing ().