Cover Image

Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power

In the context of testing for a unit root in a univariate time series, the convention is to ignore information in related time series. This paper shows that this convention is quite costly, as large power gains can be achieved by including correlated stationary covariates in the regression equation.
Year of publication:
1995
Authors: Hansen, Bruce E.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 11.1995, 05, p. 1148-1171
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005104671
Similar items by person