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.

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Year of publication:	2014
Authors:	Juselius, Katarina
Institutions:	Institut für Weltwirtschaft (IfW)
Subject:	univariate and multivariate unit root tests \| double unit roots \| near I(2)

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Extent:	application/pdf
Series:	Economics Discussion Papers. - ISSN 1867-8009.
Type of publication:	Book / Working Paper
Notes:	Number 2014-8
Classification:	C1 - Econometric and Statistical Methods: General ; c18 ; C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010956111