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Testing for near I(2) trends when the signal-to-noise ratio is small
Jusélius, Katarina - 2014
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...
Persistent link: https://www.econbiz.de/10010355373
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Testing for near I(2) trends when the signal to noise ratio is small
Jusélius, Katarina - 2014
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...
Persistent link: https://www.econbiz.de/10010240618
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Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-Finite Variance Errors
Cappuccio, Nunzio; Lubian, Diego - 2003
The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...
Persistent link: https://www.econbiz.de/10014075550
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A combined nonparametric test for seasonal unit roots
Kunst, Robert M. - 2014
Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...
Persistent link: https://www.econbiz.de/10010252130
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Unit Root Tests with Wavelets
Gencay, Ramazan - 2011
This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...
Persistent link: https://www.econbiz.de/10012757043
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A class of simple semiparametrically efficient rank-based unit root tests
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2009
We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...
Persistent link: https://www.econbiz.de/10003819749
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Identification problems in ESTAR models and a new model
Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010
testing ; Unit root testing ; Real exchange rates …
Persistent link: https://www.econbiz.de/10003950818
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Jackknife bias reduction in the presence of a unit root
Chambers, Marcus J.; Kyriacou, Maria - 2010
This paper analyses the properties of jackknife estimators of the first-order autoregressive coefficient when the time series of interest contains a unit root. It is shown that, when the sub-samples do not overlap, the sub-sample estimators have different limiting distributions from the...
Persistent link: https://www.econbiz.de/10003927895
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …
Persistent link: https://www.econbiz.de/10011342578
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Approaches for the joint evaluation of hypothesis tests : classical testing, Bayes testing, and joint confirmation
Kunst, Robert M. - 2005
contributions in econometrics. We emphasize that confirmation analysis is grounded in classical testing and should be contrasted … extending the classical hypothesis testing setup. Particularly, confirmation analysis has been in the focus of some recent … with the Bayesian approach. Differences across the three approaches - traditional classical testing, Bayes testing, joint …
Persistent link: https://www.econbiz.de/10009730395