The relationship between power and level for generic unit root tests in finite samples
证明通用单位根检验对任何平稳备择假设的最大检验势等于真实检验水平，并通过蒙特卡洛模拟展示多种单位根和平稳过程下的拒绝概率模式，讨论对应用研究的启示。
Abstract We show that the maximum power of a generic unit root test against any stationary alternative is equal to the true level of the test. We then use Monte Carlo methods to investigate the implications for several such tests. We show patterns of rejection probabilities over a variety of unit root and stationary processes. We discuss the implications of these results for some of the uses of unit root tests in applied work.