Testing for near I(2) trends when the signal-to-noise ratio is small

Artikel

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: 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)

Classification and Topics

• Classification: 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: Univariate and multivariate unit root tests ; double unit roots ; near I(2)

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Juselius, Katarina
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2014

Further information

• DOI: doi:10.5018/economics-ejournal.ja.2014-21
• Handle: http://hdl.handle.net/10419/97646
• Last update: 10.03.2025, 11:42 AM CET