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On the Asymptotic Power of Unit Root Tests

Published online by Cambridge University Press:  11 February 2009

Karim M. Abadir
Karim M. Abadir
Affiliation:
The American University in Cairo
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Abstract

Closed forms for the distribution of some conventional statistics are given as a prelude to deriving their asymptotic power functions as unit root tests. In the process, an important distinction is drawn between two classes of statistics: one which relies on deterministic normalizations and the other which uses stochastic normalizations. When the data follow a driftless autoregression, a t test (which belongs to the second class) for a unit root is found to perform better than the other tests in small to moderate effective samples.

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 2 , April 1993 , pp. 189 - 221
Copyright
Copyright © Cambridge University Press 1993

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