GLS-based unit root tests for bounded processes

We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded processes.

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Year of publication:	2013
Authors:	Carrion-i-Silvestre, Josep Lluís ; Gadea, María Dolores
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 2, p. 184-187
Publisher:	Elsevier
Subject:	Unit root \| Bounded process \| Quasi-GLS-detrending

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041707