Efficient tests for a unit root when the initial observation is drawn fromits unconditional distribution

Authors
Elliott, G
Citation
G. Elliott, Efficient tests for a unit root when the initial observation is drawn fromits unconditional distribution, INT ECON R, 40(3), 1999, pp. 767-783
Citations number
13
Categorie Soggetti
Economics
Journal title
INTERNATIONAL ECONOMIC REVIEW
ISSN journal
00206598 → ACNP
Volume
40
Issue
3
Year of publication
1999
Pages
767 - 783
Database
ISI
SICI code
0020-6598(199908)40:3<767:ETFAUR>2.0.ZU;2-K
Abstract
Researchers desire powerful tests for unit roots. This paper derives the fa mily of asymptotically most powerful tests for unit roots when the initial condition is drawn from its unconditional distribution under the alternativ e. This enables both the examination of previously proposed statistics and the construction of powerful tests against this alternative model.