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Testing for Near I (2) Trends When the Signal to Noise Ratio is Small

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 we frequently find double unit roots in the data. Our paper demonstrates by simulations that this often happens when the signal-to-noise-ratio is small.
Year of publication:
2013-12
Authors: Juselius, Katarina
Institutions: Økonomisk Institut, Københavns Universitet
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 14-01 23 pages
Source:
Persistent link: https://www.econbiz.de/10010746952
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