Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS-modified critical values either have the same power as, or slightly better than, tests using conventional Dickey-Fuller critical values across the sample range considered.
Year of publication: |
2017
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Authors: | Mantalos, Panagiotis |
Published in: |
Cogent Economics & Finance. - Abingdon : Taylor & Francis, ISSN 2332-2039. - Vol. 5.2017, 1, p. 1-12
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Publisher: |
Abingdon : Taylor & Francis |
Subject: | critical values | normalizing and variance-stabilizing transformation | unit root tests |
Saved in:
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1080/23322039.2016.1274282 [DOI] 1027628567 [GVK] hdl:10419/194652 [Handle] |
Classification: | C01 - Econometrics ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011988724