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(stochastic) unit roots
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data transformation
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nonnested tests
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stochastic unit root
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Yoon, Gawon
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Econometric Society
Department of Economics, University of California-San Diego (UCSD)
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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Econometric Society 2004 Far Eastern Meetings
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A note on some properties of STUR processes
Yoon, Gawon
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Econometric Society
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2004
This note presents possibly hitherto unnoticed, or only implicitly discussed, properties of the stochastic unit root process developed in Granger and Swanson (1997) and Leybourne, McCabe, and Tremayne (1996).
Persistent link: https://www.econbiz.de/10005342328
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The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots
Yoon, Gawon
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Econometric Society
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2004
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...
Persistent link: https://www.econbiz.de/10005342365
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