Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

Michael Jansson

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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 infinitedimensional 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.

Keywords: Unit root testing; semiparametric efficiency (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 50
Date: 2007-06-25
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2007-12

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