Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. 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.


Issue Date:
2009-08
Publication Type:
Working or Discussion Paper
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/273699
Language:
English
Total Pages:
17
JEL Codes:
C12; C22
Series Statement:
Working Paper No. 1213




 Record created 2018-06-19, last modified 2020-10-28

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