Local Power Functions of Tests for Double Unit Roots

Niels Haldrup () and Peter Lildholdt

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

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)
Date: 2000-06-05
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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
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Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt01j3m1h6

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