On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles

Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots can severely bias the size properties of these unit root test procedures.

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Year of publication:	2013
Authors:	Castro, Tomás del Barrio ; Rodrigues, Paulo M.M. ; Taylor, A.M. Robert
Institutions:	Centro de Estudos e Formação Avançada em Gestão e Economia (CEFAGE-UE), Universidade de Évora
Subject:	Phillips-Perron unit root test \| Non-stationarity \| Serial correlation \| Cyclicality \| Busi- ness cycles

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Series:	CEFAGE-UE Working Papers.
Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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