The Power of Modified Instrumental Variables Tests for Unit Roots
研究了Hall（1989）工具变量单位根检验的功效，对t统计量稍作修正以避免负标准误问题，发现当存在负移动平均成分时，检验功效曲线不是自回归系数的单调函数。
In this paper we investigate the power of Hall's (1989) instrumental variables tests for unit roots. A slight modification is made to Hall's t statistic so that the modified t statistic can be applied directly without encountering the possible negative standard error problem of Hall's original t statistic. The major finding is that the power curves of the instrumental variables tests are not monotonic functions of the autoregressive coefficient of the unit root models when there is a negative moving average component.