Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis

Michael Jansson and Morten Nielsen

No 1213, Working Paper from Economics Department, Queen's University

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: unit root hypothesis; Efficiency; likelihood ratio test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2009-08
References: Add references at CitEc
Citations: View citations in EconPapers (4)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1213.pdf First version 2009 (application/pdf)

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)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1213

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