Haldrup, Niels; Jansson, Michael - School of Economics and Management, University of Aarhus - 2005
of covariates.
JELCoscdscescssc: C12, C22
Kescysc Woscrscdscssc: Unit roots, optimal tests, power envelope.
1 … they almost
achieve the asymptotic power envelope for unit root tests. The concepts of test effi-
ciency and power … values of ¯c correspond to the local al-
ternatives against which the local asymptotic power envelope for 5% tests equals
50 …