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Improving Size and Power in Unit Root Testing

Publikation: Working paperForskning

Standard

Improving Size and Power in Unit Root Testing. / Haldrup , Niels; Jansson, Michael.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2005.

Publikation: Working paperForskning

Harvard

Haldrup , N & Jansson, M 2005 'Improving Size and Power in Unit Root Testing' Institut for Økonomi, Aarhus Universitet, Aarhus. <ftp://ftp.econ.au.dk/afn/wp/05/wp05_02.pdf>

APA

Haldrup , N., & Jansson, M. (2005). Improving Size and Power in Unit Root Testing. Institut for Økonomi, Aarhus Universitet. ftp://ftp.econ.au.dk/afn/wp/05/wp05_02.pdf

CBE

Haldrup N, Jansson M. 2005. Improving Size and Power in Unit Root Testing. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Haldrup , Niels og Michael Jansson Improving Size and Power in Unit Root Testing. Aarhus: Institut for Økonomi, Aarhus Universitet. 2005., 31 s.

Vancouver

Haldrup N, Jansson M. Improving Size and Power in Unit Root Testing. Aarhus: Institut for Økonomi, Aarhus Universitet. 2005.

Author

Haldrup , Niels ; Jansson, Michael. / Improving Size and Power in Unit Root Testing. Aarhus : Institut for Økonomi, Aarhus Universitet, 2005.

Bibtex

@techreport{397d6230a84111dabee902004c4f4f50,
title = "Improving Size and Power in Unit Root Testing",
abstract = "A frequent criticism of unit root tests concerns the poor power and size properties that many of such testsexhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey of recent contributions to improve upon both size and power of unit root tests and in so doing the approach of using rigorous statistical optimality criteria in the development of such tests is stressed. In addition to presenting tests where improved size can be achieved by modifying the standard Dickey-Fuller class of tests, the paper presents theory of optimal testing and the construction of power envelopes for unit root tests underdifferent conditions allowing for serial correlation, deterministic components, assumptions regarding the initial condition, non-Gaussian errors, and the use of covariates.",
keywords = "Unit roots, optimal tests, power envelope",
author = "Niels Haldrup and Michael Jansson",
year = "2005",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Improving Size and Power in Unit Root Testing

AU - Haldrup , Niels

AU - Jansson, Michael

PY - 2005

Y1 - 2005

N2 - A frequent criticism of unit root tests concerns the poor power and size properties that many of such testsexhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey of recent contributions to improve upon both size and power of unit root tests and in so doing the approach of using rigorous statistical optimality criteria in the development of such tests is stressed. In addition to presenting tests where improved size can be achieved by modifying the standard Dickey-Fuller class of tests, the paper presents theory of optimal testing and the construction of power envelopes for unit root tests underdifferent conditions allowing for serial correlation, deterministic components, assumptions regarding the initial condition, non-Gaussian errors, and the use of covariates.

AB - A frequent criticism of unit root tests concerns the poor power and size properties that many of such testsexhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey of recent contributions to improve upon both size and power of unit root tests and in so doing the approach of using rigorous statistical optimality criteria in the development of such tests is stressed. In addition to presenting tests where improved size can be achieved by modifying the standard Dickey-Fuller class of tests, the paper presents theory of optimal testing and the construction of power envelopes for unit root tests underdifferent conditions allowing for serial correlation, deterministic components, assumptions regarding the initial condition, non-Gaussian errors, and the use of covariates.

KW - Unit roots, optimal tests, power envelope

M3 - Working paper

BT - Improving Size and Power in Unit Root Testing

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -