Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/67799 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 1213
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
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
Dokumentart: 
Working Paper

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