Power of a Unit‐Root Test and the Initial Condition

David Harvey and Stephen Leybourne ()

Journal of Time Series Analysis, 2006, vol. 27, issue 5, 739-752

Abstract: Abstract. It is now well known that how the initial observation is generated can have a significant effect on the power of a unit‐root test. In this article, we show that by taking a simple data‐dependent weighted average of the initial condition‐robust test of Elliott and Müller [Journal of Econometrics (2006), forthcoming] and the standard augmented Dickey–Fuller test, we are able to produce a new unit‐root test that can improve power, both asymptotically and in finite samples, over a wide range of possibilities governing the generation of the initial observation.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2006.00486.x

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: https://EconPapers.repec.org/RePEc:bla:jtsera:v:27:y:2006:i:5:p:739-752

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().