期刊名称：Discussion Papers of the Department of Economics, University of St.Gallen = Diskussionspapiere der Volkswirtschaftlichen Abteilung der Universität St.Gallen
出版年度：2002
卷号：2002
出版社：Universität St. Gallen
摘要：The paper analyzes the impact of the initial observation on the problem of testing for unit
roots. To this end, we derive a family of optimal tests that maximize a weighted average
power criterion with respect to the initial observation. We then investigate the relationship
of this optimal family to unit root tests in an asymptotic framework. We find that many
popular unit root tests are closely related to specific members of the optimal family, but the
corresponding members employ very different weightings for the initial observation. The
popular Dickey-Fuller tests, for instance, are closely related to optimal tests which put a
large weight on extreme deviations of the initial observation from the deterministic
component, whereas other popular tests put more weight on moderate deviations. At the
same time, the power of the various unit root tests varies dramatically with the initial
observation. This paper therefore helps to explain the results of comparative power studies
of unit root tests, and allows a much deeper understanding of the merits of particular tests
in specific circumstances.
关键词：Unit root tests, point optimal tests, weighted average power, asymptotic distributions
