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When studying time series, I once heard the statement that

unit root test is less powerful.

I hereby have two questions:

  1. What does it mean for a test to be powerful?
  2. What causes the unit root test to be less powerful?
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    $\begingroup$ For the concept of power, please search our site. "Less powerful" has no intrinsic meaning; your second question can only be answered if you tell us to what the unit root test is being compared. $\endgroup$
    – whuber
    Commented Jan 2, 2014 at 21:36
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    $\begingroup$ Power is the probability of rejecting the null when its false. As whuber says, you can search on the site; there's a particular example of a power comparison here, for example. As for what causes a test to be less powerful, generally speaking, against some particular alternative, it's because there's information in the data that the test it's being compared to is using better than it. $\endgroup$
    – Glen_b
    Commented Jan 3, 2014 at 0:30
  • $\begingroup$ Without more information about what it's being compared to and under what specific alternative, it's hard to say much. $\endgroup$
    – Glen_b
    Commented Jan 3, 2014 at 0:31
  • $\begingroup$ I'm voting to close this question as off-topic because part of it has been answered and the other part cannot be answered. $\endgroup$
    – Peter Flom
    Commented Aug 11, 2018 at 13:48

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