Artikel
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 they frequently find double unit roots in the data. The paper demonstrates by simulations that this often happens when the signal-to-noise ratio is small
- Sprache
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Englisch
- Erschienen in
-
Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 8 ; Year: 2014 ; Issue: 2014-21 ; Pages: 1-30 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
-
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
- Thema
-
Univariate and multivariate unit root tests
double unit roots
near I(2)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Juselius, Katarina
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2014
- DOI
-
doi:10.5018/economics-ejournal.ja.2014-21
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Juselius, Katarina
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2014
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