On the Asymptotic Power of Unit Root Tests

Karim M. Abadir

Econometric Theory, 1993, vol. 9, issue 2, 189-221

Abstract: Closed forms for the distribution of some conventional statistics are given as a prelude to deriving their asymptotic power functions as unit root tests. In the process, an important distinction is drawn between two classes of statistics: one which relies on deterministic normalizations and the other which uses stochastic normalizations. When the data follow a driftless autoregression, a t test (which belongs to the second class) for a unit root is found to perform better than the other tests in small to moderate effective samples.

Date: 1993
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