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Power of tests for unit roots in the presence of a linear trend.

Abstract:

Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend and a fixed initial value. This model has nuisance parameters so later authors have often worked with a slightly different model with a random initial value in which nuisance parameters can be eliminated by an invariant reduction of the model. This facilitates computation of envelope power functions and comparison of the relative performance of different unit root tests. It is shown here that in...

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Bent Nielsen More by this author
Publication date:
2003
URN:
uuid:e24e1387-a052-4bea-a0dd-6637ace41d30
Local pid:
oai:economics.ouls.ox.ac.uk:11951
Language:
English

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