Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2014-8
- Classification
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Wirtschaft
Methodological Issues: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
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univariate and multivariate unit root tests
double unit roots
near I(2)
- Event
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Geistige Schöpfung
- (who)
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Juselius, Katarina
- Event
-
Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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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
- Juselius, Katarina
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2014
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