Local Asymptotic Power of Breitung's Test
Mehdi Hosseinkouchack ()
Oxford Bulletin of Economics and Statistics, 2014, vol. 76, issue 3, 456-462
In this article, we derive the local asymptotic power function of the unit root test proposed by Breitung [Journal of Econometrics (2002) Vol. 108, pp. 343–363]. Breitung's test is a non-parametric test and is free of nuisance parameters. We compare the local power curve of the Breitungs’ test with that of the Dickey–Fuller test. This comparison is in fact a quantification of the loss of power that one has to accept when applying a non-parametric test.
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