THE RELATIONSHIP BETWEEN POWER AND LEVEL FOR GENERIC UNIT-ROOT TESTS IN FINITE SAMPLES

被引：69

作者：

BLOUGH, SR

机构：

[1] Department of Economics, Johns Hopkins University, Baltimore, Maryland

来源：

JOURNAL OF APPLIED ECONOMETRICS | 1992年 / 7卷 / 03期

关键词：

D O I：

10.1002/jae.3950070306

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show that the maximum power of a generic unit root test against any stationary alternative is equal to the true level of the test. We then use Monte Carlo methods to investigate the implications for several such tests. We show patterns of rejection probabilities over a variety of unit root and stationary processes. We discuss the implications of these results for some of the uses of unit root tests in applied work.

引用

页码：295 / 308

页数：14

共 21 条

[1] A NEW APPROACH TO DECOMPOSITION OF ECONOMIC TIME-SERIES INTO PERMANENT AND TRANSITORY COMPONENTS WITH PARTICULAR ATTENTION TO MEASUREMENT OF THE BUSINESS-CYCLE [J].