Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230582
Authors: 
Brien, Samuel
Jansson, Michael
Nielsen, Morten Ørregaard
Year of Publication: 
2020
Series/Report no.: 
Queen’s Economics Department Working Paper No. 1429
Abstract: 
We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach when dealing with higher-order models. In contrast, we consider the full model and derive the relevant large-sample properties of likelihood ratio tests under a local-to-unity asymptotic framework. As in the simpler model, we show that the full likelihood ratio tests are nearly efficient, in the sense that their asymptotic local power functions are virtually indistinguishable from the Gaussian power envelopes.
Subjects: 
Efficiency
likelihood ratio test
nuisance parameters
unit root hypothesis
JEL: 
C12
C22
Document Type: 
Working Paper

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