Skip to main content
Open Access Publications from the University of California

Local Power Functions of Tests for Double Unit Roots

  • Author(s): Haldrup, Niels, Prof.;
  • Lildholdt, Peter
  • et al.

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

Main Content
For improved accessibility of PDF content, download the file to your device.
Current View