Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67799
Authors: 
Jansson, Michael
Nielsen, Morten Ørregaard
Year of Publication: 
2009
Series/Report no.: 
Queen's Economics Department Working Paper 1213
Abstract: 
Seemingly absent from the arsenal of currently available nearly efficient testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We show that the likelihood ratio unit root test derived in a Gaussian AR(1) model with standard normal innovations is nearly efficient in that model. Moreover, these desirable properties carry over to more complicated models allowing for serially correlated and/or non-Gaussian innovations.
JEL: 
C22
Document Type: 
Working Paper

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