Power comparison of invariant unit root tests

Dimitrios Vougas

Applied Economics Letters, 2008, vol. 15, issue 7, 509-512

Abstract: In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

Date: 2008
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DOI: 10.1080/13504850600706628

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