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Local Power Functions of Tests for Double Unit Roots


Niels Haldrup


Aarhus University, School of Economics and Management; CREATES

Peter M. Lildholdt


Bank of England - Monetary Analysis
June 2000

UCSD Economics Discussion Paper No. 2000-12

Abstract:     
The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

Number of Pages in PDF File: 33

Keywords: Asymptotic Local Power Function, Brownian Motion, Ornstein-Uhlenbeck Process

JEL Classification: C12, C14, C22

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Date posted: December 1, 2000  

Suggested Citation

Haldrup, Niels and Lildholdt, Peter M., Local Power Functions of Tests for Double Unit Roots (June 2000). UCSD Economics Discussion Paper No. 2000-12. Available at SSRN: http://ssrn.com/abstract=237011 or http://dx.doi.org/10.2139/ssrn.237011

Contact Information

Niels Haldrup (Contact Author)
Aarhus University, School of Economics and Management ( email )
Universitetsparken
Aarhus, DK 8000 C
Denmark
+45 8942 1133 (Phone)
+45-8613-6334 (Fax)
CREATES ( email )
School of Economics and Management
Aarhus University
Aarhus, DK 8000 C
Denmark
+4589421613 (Phone)
HOME PAGE: http://www.creates.au.dk/en
Peter M. Lildholdt
Bank of England - Monetary Analysis ( email )
Threadneedle Street
London EC2R 8AH
United Kingdom
Feedback to SSRN (Beta)


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