Power comparison among tests for fractional unit roots

Power comparison among tests for fractional unit roots

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.

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Veröffentlicht in:Economics letters 2008-04, Vol.99 (1), p.152-154
Hauptverfasser: Lobato, Ignacio N., Velasco, Carlos
Format: Artikel
Sprache:eng
Schlagworte:
Econometric models
Long memory
Memory
Serial correlation
Significance tests
Time series
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Beschreibung
Zusammenfassung: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.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2007.06.017