Power of Tests for Unit Roots in the Presence of a Linear Trend.
Dickey and Fuller [Econometrica (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. The testing problem has nuisance paramets so power studies often work with a slightly different model with a random initial value in which nuisance parameters can easily be eliminated by an invariant reduction of the model. We show that invariance arguments can also be used when comparing power within a conditional mode...Expand abstract
- Oxford Bulletin of Economics and Statistics
- Publication date:
- Local pid:
- Deposit date:
- Copyright date:
If you are the owner of this record, you can report an update to it here: Report update to this record