GLS Detrending and Regime-Wise Stationarity Testing in Small Samples

This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test. Hence, finite sample critical values for the DF-GLSTB test are tabulated while a Monte Carlo study highlights its enhanced power

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Year of publication:	2008
Authors:	Lopez, Claude
Publisher:	[S.l.] : SSRN
Subject:	Kleinste-Quadrate-Methode \| Least squares method \| Stichprobenerhebung \| Sampling \| Einheitswurzeltest \| Unit root test \| Theorie \| Theory \| Statistischer Test \| Statistical test \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Series:	U of Cincinnati, Economics Working Paper ; No. WP 2008-01
Type of publication:	Book / Working Paper
Language:	English
Notes:	Volltext nicht verfügbar
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014219362