Efficient Tests for an Autoregressive Unit Root

@article{Elliott1992EfficientTF,
  title={Efficient Tests for an Autoregressive Unit Root},
  author={Graham Elliott and Thomas J. Rothenberg and James H. Stock},
  journal={Econometrics eJournal},
  year={1992}
}
This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is proposed, members of which are asymptotically similar under a general 1(1) null (allowing nonnormality and general dependence) and which achieve the Gaussian power envelope. One of these tests, which is asymptotically point optimal at a power of 50%, is found (numerically) to be approximately uniformly… 
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