Asymptotic behaviour of tests for a unit root against an explosive alternative

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 122
Issue: 1
Pages: 64-68

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

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically efficient and generally offer superior power to OLS-based approaches; however, the power gains are much more modest than in the lower-tail testing context. We also find that asymptotically non-negligible initial conditions do not affect the power ranking in the same way as they do for lower-tail tests, with the QD-based tests retaining a power advantage in such cases.

Technical Details

RePEc Handle
repec:eee:ecolet:v:122:y:2014:i:1:p:64-68
Journal Field
General
Author Count
2
Added to Database
2026-01-25