The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck process. Based on a numerical examination of the analytical distributions, a comparison of the tests is made via their asymptotic local power functions.

摘要本文利用三种常用的双单位根检验的渐近局部幂来刻画它们的性质。为此，我们研究一类近似双重积分过程，其极限表现为双索引Ornstein-Uhlenbeck过程的加权积分。在对解析分布进行数值研究的基础上，比较了它们的渐近局部幂函数。