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Previous issue date: 2003-01-24 / In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic power of the tests the asymptotic distributions under the null hypothesis and under the set of alternative hypotheses described in Phillips (1988) are determined. In addition, a test which combines characteristics of both tests is proposed and its distributions under the null hypothesis and the same set of alternative hypotheses are determined. This allows us to determine what causes any difference in the asymptotic power of the two tests against the set of alternative hypotheses considered
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/193 |
| Date | 24 January 2003 |
| Creators | Rocha, Guilherme Norman Leal Veiga da |
| Contributors | Escolas::EPGE, FGV, Flôres Junior, Renato Galvão |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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