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Applied Economics Letters Volume 15, 2008 - Issue 7
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Original Articles

Power comparison of invariant unit root tests

Dimitrios V. Vougas Department of Economics, University of Wales Swansea, Singleton Park, Swansea, SA2 8PP, UKCorrespondence[email protected]
Pages 509-512 | Published online: 20 Jun 2008
 
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Abstract

In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

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