Local Power Functions of Tests for Double Unit Roots

Niels Haldrup () and Peter Lildholdt ()
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Peter Lildholdt: Department of Economics, University of Aarhus, Denmark, Postal: 8000 Aarhus C, Denmark

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

Keywords: Asymptotic local power function; Brownian motion; Ornstein-Uhlenbeck process (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 32
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Local power functions of tests for double unit roots (2005)
Working Paper: Local Power Functions of Tests for Double Unit Roots (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:aarhec:2000-2

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