Reducing size distortions of parametric stationarity tests
نویسندگان
چکیده
منابع مشابه
Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
Tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance. We show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size distortions, if the model under the null hypothesis is highly persistent. This fact calls into question th...
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This paper investigates howstandard residual based tests for cointegration— under structural change in the long run relationship—canbemodified in order to reduce size distortions and improve power, by following the same ideas used in the unit root context. This is a natural strategy given that these tests are unit root statistics applied to estimated residuals from a cointegrating regression. I...
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Tests of stationarity are routinely applied to highly autocorrelated time series. Following Kwiatkowski et al. (J. Econom. 54 (1992) 159), standard stationarity tests employ a rescaling by an estimator of the long-run variance of the (potentially) stationary series. This paper analytically investigates the size and power properties of such tests when the series are strongly autocorrelated in a ...
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We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate models for the individual series. The statistic is simple to compute and is asymptotically normally distributed, even in the presence of ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2003
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00314