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Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
Journal of business & economic statistics
Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to characterize the extent of the loss in power from usingdoi:10.1198/073500104000000307 fatcat:j6l23ngtgzfhvmrhba6rf3ksou