The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots

This paper shows that the recently proposed tests of linear and logarithmic transformations for integrated processes against each other by Kobayashi and McAleer (1999) are severely biased for alternative hypotheses when the true data generating process is a stochastic unit root. An empirical example with four daily bond yields is also provided

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Year of publication:	2004-08-11
Authors:	Yoon, Gawon
Institutions:	Econometric Society
Subject:	data transformation \| (stochastic) unit roots \| nonnested tests

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Extent:	application/pdf
Series:	Econometric Society 2004 Far Eastern Meetings.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 728
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342365