Efficient Tests for an Autoregressive Unit Root
自回归单位根的高效检验
The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series. The authors propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below. When the series has an unknown mean or linear trend, commonly used tests are found to be dominated by members of the family of point-optimal invariant tests. The authors propose a modified…