Testing for near I (2) trends when the signal to noise ratio is small
Publikation: Working paper › Forskning
Dokumenter
- Discussion Papers no 14-01
411 KB, PDF-dokument
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.
simulations that this often happens when the signal-to-noise-ratio is small.
Originalsprog | Engelsk |
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Udgivelsessted | Kbh. |
Udgiver | Økonomisk institut, Københavns Universitet |
Antal sider | 22 |
Status | Udgivet - 2014 |
Navn | University of Copenhagen. Institute of Economics. Discussion Papers (Online) |
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Nummer | 01 |
Vol/bind | 2014 |
ISSN | 1601-2461 |
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