A Remark on Unit Root Tests and Measures of Persistence

In this paper we simulate a series which is segmented trend plus noise. Despite the imposed data generating process, usual tests for unit roots and estimates of persistence fail to reject the random walk hypothesis.

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Year of publication:	1991
Authors:	Bianchi, Marco
Publisher:	Bologna : Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)

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Series:	Quaderni - Working Paper DSE ; 126
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.6092/unibo/amsacta/5234 [DOI] hdl:10419/158969 [Handle] RePEc:bol:bodewp:126 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011650995