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 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

MoreLess

Year of publication:	2014
Authors:	Juselius, Katarina
Published in:	Economics: The Open-Access, Open-Assessment E-Journal. - Kiel : Kiel Institute for the World Economy (IfW), ISSN 1864-6042. - Vol. 8.2014, 2014-21, p. 1-30
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	Univariate and multivariate unit root tests \| double unit roots \| near I(2)

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.5018/economics-ejournal.ja.2014-21 [DOI] 786305002 [GVK] hdl:10419/97646 [Handle] RePEc:zbw:ifweej:201421 [RePEc]
Classification:	C1 - Econometric and Statistical Methods: General ; c18 ; C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010368461