In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … multiple cointegrating vectors. Since the test is nonparametric, it does not require the specification of a particular model … and integer-based parametric approaches, evidence in favor of the expectations hypothesis is found using the nonparametric …

power than the Breitung (2002) test, and when d is small the asymptotic local power of the proposed nonparametric test is …This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing … asymptotic distribution depends on d and the test remains consistent for all d>0, it is possible to analyze the power of the test …

nonparametric test is relatively close to the parametric power envelope, particularly in the case with a linear time trend …This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing … power of the test for different values of d. The usual Phillips-Perron or Dickey-Fuller type tests are characterized by …

-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is …

The asymptotic power of a statistical test depends on the model being tested, the (implicit) alternative against which … for several classes of models and tests. First, we analyze the power of tests of nonlinear regression models in regression … directions. Next, we consider the power of heteroskedasticity-robust variants of these tests. Finally, we examine the power of …

under non-null processes described by a Pitman drift. However, complications arise in the measurement of power. If the test … show that, under an asymptotic independence condition, the power of both bootstrap and asymptotic tests can be estimated …

The local power of test statistics is analyzed by extending the notion of Pitman sequences to sequences of data … tend asymptotically to the same random variable under all sequences of local DGPs. The power of these tests depends on the … power. …