Power comparison among tests for fractional unit roots

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 1
Pages: 152-154

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed alternatives.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:1:p:152-154
Journal Field
General
Author Count
2
Added to Database
2026-01-25