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dc.contributor.authorJuhl, Ted P.
dc.contributor.authorXiao, Zhijie
dc.date.accessioned2007-05-15T15:37:27Z
dc.date.available2007-05-15T15:37:27Z
dc.date.issued2003-04
dc.identifier.citationJuhl, T; Xiao, ZJ. Power functions and envelopes for unit root tests. ECONOMETRIC THEORY. April 2003. 19(2) : 240-253
dc.identifier.urihttp://hdl.handle.net/1808/1605
dc.description.abstractThis paper studies power functions and envelopes for covariate augmented unit root tests. The power functions are calculated by integrating the characteristic function, allowing accurate evaluation of the power envelope and the power functions. Using the power functions, we study the selection among point optimal invariant unit root tests. An "optimal" point optimal test is proposed based on minimizing the integrated power difference. We find that when there are covariate effects, optimal tests use a local alternative where the power envelope has an approximate value of 0.75.
dc.language.isoen_US
dc.publisherCAMBRIDGE UNIV PRESS
dc.titlePower functions and envelopes for unit root tests
dc.typeArticle
dc.identifier.doi10.1017/S026646660319202X
dc.rights.accessrightsopenAccess


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