Powerful Unit Root Tests Free of Nuisance Parameters
提出一种方差比型单位根检验，在单位根原假设和局部备择假设下干扰参数渐近消失，无需调整参数，功效接近点最优检验。
We propose a variance ratio‐type unit root test where the nuisance parameter cancels asymptotically under both the null of a unit root and a local‐to‐unity alternative. Critical values and asymptotic power curves can be computed using standard numerical techniques. Our test exhibits higher power compared with tests that share the virtue of being free of tuning parameters. In fact, the local asymptotic power curves of our procedure get close to the power functions of the point optimal test, where the latter suffers from the drawback of having to correct for a nuisance parameter consistently.