Efficient tests for an autoregression unit root-英文文献.pdf

Efficient Tests for an Autoregressive Unit Root Author(s): Graham Elliott, Thomas J. Rothenberg, James H. Stock Source: Econometrica, Vol. 64, No. 4 (Jul., 1996), pp. 813-836 Published by: The Econometric Society Stable URL: /stable/2171846 Accessed: 27/10/2009 13:08 Your use of the JSTOR archive indicates your acceptance of JSTORs Terms and Conditions of Use, available at /page/info/about/policies/terms.jsp. JSTORs Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at /action/showPublisher?publisherCode=econosoc. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. The Econometric Society is collaborating with JSTOR to digitize, preserve and extend access to Econometrica. Econometrica, Vol. 64, No. 4 (July, 1996), 813-836 EFFICIENT TESTS FOR AN AUTOREGRESSIVE UNIT ROOT AND JAMESH. STOCK1 J. ROTHENBERG, BY GRAHwAELLIOrr, THOMAS The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under v