POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS
研究了协变量增强单位根检验的势函数与包络线，通过积分特征函数精确计算势，并基于最小化积分势差提出一种最优点最优检验，发现存在协变量效应时最优检验的势包络线近似值为0.75。
This paper studies power functions and envelopes for covariate augmented unit root tests. The power functions are calculated by integrating the characteristic function, allowing accurate evaluation of the power envelope and the power functions. Using the power functions, we study the selection among point optimal invariant unit root tests. An “optimal” point optimal test is proposed based on minimizing the integrated power difference. We find that when there are covariate effects, optimal tests use a local alternative where the power envelope has an approximate value of 0.75.We thank Pentti Saikkonen and two referees for helpful comments.