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Comparing two multivariate unit root tests

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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

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/193
Date24 January 2003
CreatorsRocha, Guilherme Norman Leal Veiga da
ContributorsEscolas::EPGE, FGV, Flôres Junior, Renato Galvão
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rightsinfo:eu-repo/semantics/openAccess

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