Testing for near I(2) trends when the signal-to-noise ratio is small

Katarina Juselius

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The paper demonstrates by simulations that this often happens when the signal-to-noise ratio is small

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Year of publication:	2014
Authors:	Jusélius, Katarina
Publisher:	[Kiel] : [Kiel Inst. for the World Economy]
Subject:	Univariate and multivariate unit root tests \| double unit roots \| near I(2) \| Kaufkraftparität \| Purchasing power parity \| Wechselkurs \| Exchange rate \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Einheitswurzeltest \| Unit root test \| Finanzmarktökonometrie \| Financial econometrics

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Extent:	Online-Ressource (PDF-Datei: S.30) graph. Darst.
Series:	Economics / Journal articles : the open-access, open-assessment journal. - Berlin : DeGruyter, ISSN 1864-6042, ZDB-ID 2324918-3. - Vol. 8.2014-21
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	10.5018/economics-ejournal.ja.2014-21 [DOI] hdl:10419/97646 [Handle]
Classification:	C1 - Econometric and Statistical Methods: General ; c18 ; C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010355373