Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230582 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Queen’s Economics Department Working Paper No. 1429
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
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.
Schlagwörter: 
Efficiency
likelihood ratio test
nuisance parameters
unit root hypothesis
JEL: 
C12
C22
Dokumentart: 
Working Paper

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