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The tests introduced by Ng and Perron [Ng, S., Perron, P., 20011. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica 69, 1519–1554] have the drawback that for non-local alternatives the power can be very small. The aim of this note is to point out an easy solution to this power reversal problem, which in addition leads to tests having an exact size...
We extend the class of M-tests for a unit root analyzed by Perron and Ng (Rev. Econ. Studies 63 (1996) 435) and Ng and Perron (Econometrica 69 (2001) 1519) to the case where a change in the trend function is allowed to occur at an unknown time. These tests (M GLS ) adopt the GLS detrending approach developed by Elliott et al. (Econometrica 64 (1996) 813) (ERS) following the results...
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