Abstract
Seemingly absent from the arsenal of currently available “nearly efficient” testing procedures for the unit root hypothesis, that is, tests whose asymptotic local power functions are virtually indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We study the large sample properties of a quasi-likelihood ratio unit root test based on a Gaussian likelihood and show that this test is nearly efficient.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have