Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

Michael Jansson

Econometrica, 2008, vol. 76, issue 5, 1103-1142

Abstract: This paper derives asymptotic power envelopes for tests of the unit root hypothesis in a zero-mean AR(1) model. The power envelopes are derived using the limits of experiments approach and are semiparametric in the sense that the underlying error distribution is treated as an unknown infinite-dimensional nuisance parameter. Adaptation is shown to be possible when the error distribution is known to be symmetric and to be impossible when the error distribution is unrestricted. In the latter case, two conceptually distinct approaches to nuisance parameter elimination are employed in the derivation of the semiparametric power bounds. One of these bounds, derived under an invariance restriction, is shown by example to be sharp, while the other, derived under a similarity restriction, is conjectured not to be globally attainable. Copyright 2008 The Econometric Society.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://hdl.handle.net/10.3982/ECTA6113 link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis (2007)
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:ecm:emetrp:v:76:y:2008:i:5:p:1103-1142

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().