Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.
|ジャーナル||Communications in Statistics - Theory and Methods|
|出版ステータス||Published - 2000|
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