Arbeitspapier
Spectral approach to parameter-free unit root testing
A relatively simple frequency-type testing procedure for unit root potentially contaminated by an additive stationary noise is introduced, which encompasses general settings and allows for linear trends. The proposed test for unit root versus stationarity is based on a finite number of periodograms computed at low Fourier frequencies. It is not sensitive to the selection of tuning parameters defining the range of frequencies so long as they are in the vicinity of zero. The test does not require augmentation, has parameter-free non-standard asymptotic distribution and is correctly sized. The consistency rate under the alternative of stationarity reveals the relation between the power of the test and the long-run variance of the process. The finite sample performance of the test is explored in a Monte Carlo simulation study, and its empirical application suggests rejection of the unit root hypothesis for some of the Nelson-Plosser time series.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 746
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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Unit root test
Additive noise
Parameter-free distribution
- Event
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Geistige Schöpfung
- (who)
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Bailey, Natalia
Giraitis, Liudas
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, School of Economics and Finance
- (where)
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London
- (when)
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2015
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bailey, Natalia
- Giraitis, Liudas
- Queen Mary University of London, School of Economics and Finance
Time of origin
- 2015
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