Power Comparison Among Tests for Fractional Unit Roots Articles uri icon

publication date

  • April 2008

start page

  • 152

end page

  • 154


  • 1


  • 99

International Standard Serial Number (ISSN)

  • 0165-1765

Electronic International Standard Serial Number (EISSN)

  • 1873-7374


  • 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.