• Corpus ID: 38093092

EFFICIENT TESTS FOR AN AUTOREGRESSIVE UNIT ROOT BY GRAHwA ELLIOrr, THOMAS

@inproceedings{ELLIOrr2007EFFICIENTTF,
  title={EFFICIENT TESTS FOR AN AUTOREGRESSIVE UNIT ROOT BY GRAHwA ELLIOrr, THOMAS},
  author={GRAHwA ELLIOrr and Thomas J. Rothenberg and James H. Stock},
  year={2007}
}
The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various trend specifications. We propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below the envelope. When the series has no deterministic component, some previously proposed tests are shown to be asymptotically equivalent to members of this family. When the series has an… 

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