Power comparison among tests for fractional unit roots

Ignacio Lobato and Carlos Velasco

Economics Letters, 2008, vol. 99, issue 1, 152-154

Abstract: This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed alternatives.

Date: 2008
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