Power comparison among tests for fractional unit roots

This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed alternatives.

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Year of publication:	2008
Authors:	Lobato, Ignacio N. ; Velasco, Carlos
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 152-154
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005297006