Harvey, David I.; Leybourne, Stephen J. - In: Economics Letters 122 (2014) 1, pp. 64-68
We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...