Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Michael Jansson and Morten AYrregaard Nielsen

No 273699, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose asymptotic local power functions are virtually indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We study the large sample properties of a quasi-likelihood ratio unit root test based on a Gaussian likelihood and show that this test is nearly efficient.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 17
Date: 2009-08
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Related works:
Journal Article: Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis (2012)
Working Paper: Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis (2009)
Working Paper: Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273699

DOI: 10.22004/ag.econ.273699

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