Asymptotic behaviour of tests for a unit root against an explosive alternative
We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically effic...
| Main Authors: | , |
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| Format: | Article |
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Elsevier
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32668/ |