Power Comparison Among Tests for Fractional Unit Roots Articles

Overview

authors

LOBATO GARCÍA-MIJÁN ., IGNACIO
VELASCO GOMEZ, CARLOS

published in

ECONOMICS LETTERS Journal

publication date

April 2008

start page

152

end page

154

issue

1

volume

99

Digital Object Identifier (DOI)

https://doi.org/10.1016/j.econlet.2007.06.017

International Standard Serial Number (ISSN)

0165-1765

Electronic International Standard Serial Number (EISSN)

1873-7374

abstract

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.