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| Author: | Daniel, K. |
| Title: | The power and size of mean reversion tests |
| Journal: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 493-535 |
| Index terms: | POWER SHARE PRICES |
| Freeterms: | MEAN REVERSION TESTS |
| Language: | eng |
| Abstract: | In this paper, the authors develop a methodology for determining asymptotic test power. This method allows them 1) to determine the most powerful test against a specified alternative; 2) to determine the distance of a test from the optimal test using an analytical measure of test power and 3) to determine the implicit alternative to any test. |
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