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...
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| Format: | Article |
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Elsevier
2014
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| Online Access: | https://eprints.nottingham.ac.uk/32668/ |
| _version_ | 1848794463409799168 |
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| author | Harvey, David I. Leybourne, Stephen J. |
| author_facet | Harvey, David I. Leybourne, Stephen J. |
| author_sort | Harvey, David I. |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 efficient and generally offer superior power to OLS-based approaches; however, the power gains are much more modest than in the lower-tail testing context. We also find that asymptotically non-negligible initial conditions do not affect the power ranking in the same way as they do for lower-tail tests, with the QD-based tests retaining a power advantage in such cases. |
| first_indexed | 2025-11-14T19:16:36Z |
| format | Article |
| id | nottingham-32668 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:16:36Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-326682020-05-04T20:15:44Z https://eprints.nottingham.ac.uk/32668/ Asymptotic behaviour of tests for a unit root against an explosive alternative Harvey, David I. Leybourne, Stephen J. 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 efficient and generally offer superior power to OLS-based approaches; however, the power gains are much more modest than in the lower-tail testing context. We also find that asymptotically non-negligible initial conditions do not affect the power ranking in the same way as they do for lower-tail tests, with the QD-based tests retaining a power advantage in such cases. Elsevier 2014-01 Article PeerReviewed Harvey, David I. and Leybourne, Stephen J. (2014) Asymptotic behaviour of tests for a unit root against an explosive alternative. Economics Letters, 122 (1). pp. 64-68. ISSN 0165-1765 Unit root testing; Explosive autoregression; Asymptotic power; Initial condition http://www.sciencedirect.com/science/article/pii/S016517651300493X doi:10.1016/j.econlet.2013.11.006 doi:10.1016/j.econlet.2013.11.006 |
| spellingShingle | Unit root testing; Explosive autoregression; Asymptotic power; Initial condition Harvey, David I. Leybourne, Stephen J. Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title | Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title_full | Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title_fullStr | Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title_full_unstemmed | Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title_short | Asymptotic behaviour of tests for a unit root against an explosive alternative |
| title_sort | asymptotic behaviour of tests for a unit root against an explosive alternative |
| topic | Unit root testing; Explosive autoregression; Asymptotic power; Initial condition |
| url | https://eprints.nottingham.ac.uk/32668/ https://eprints.nottingham.ac.uk/32668/ https://eprints.nottingham.ac.uk/32668/ |