Spanos, Aris; Hendry, David F.; Reade, J. James - In: Oxford Bulletin of Economics and Statistics 70 (2008) s1, pp. 829-847
The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between "linear" and "log-linear" unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed...
