The Exact Power Envelope of Tests for a Unit Root

Economics

Speaker:Jan Podivinski, University of Southampton
Date: Friday 1 December 2000
Time: 16:15
Location: Room 106 Streatam Court

Further details

We show how to obtain the exact power envelope of tests for a unit root against trend-stationary alternatives, under normality. This is in contrast to the asymptotic power envelope derived by Elliott, Rothenberg and Stock (1996), and is used to indicate the lack of power of unit root tests in fixed sample sizes.