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Power of Tests for Unit Roots in the Presence of a Linear Trend.

Abstract:

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...

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Journal:
Oxford Bulletin of Economics and Statistics
Volume:
70
Publication date:
2008-01-01
ISSN:
0305-9049
Language:
English
UUID:
uuid:b5ee4a35-350e-46ea-bbe5-e967ea11aefb
Local pid:
oai:economics.ouls.ox.ac.uk:11194
Deposit date:
2011-08-16

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