Asymptotic behaviour of tests for a unit root against an explosive alternative

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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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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J.
Format:	Article
Published:	Elsevier 2014
Subjects:	Unit root testing; Explosive autoregression; Asymptotic power; Initial condition
Online Access:	https://eprints.nottingham.ac.uk/32668/

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