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

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2014, vol. 8, No 2014-21, 30 pages

Abstract: 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

Keywords: Univariate and multivariate unit root tests; double unit roots; near I(2) (search for similar items in EconPapers)
JEL-codes: C1 C18 C22 C32 C52 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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http://dx.doi.org/10.5018/economics-ejournal.ja.2014-21
https://www.econstor.eu/bitstream/10419/97646/1/786305002.pdf (application/pdf)

Related works:
Working Paper: Testing for near I(2) trends when the signal to noise ratio is small (2014)
Working Paper: Testing for Near I (2) Trends When the Signal to Noise Ratio is Small (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:201421

DOI: 10.5018/economics-ejournal.ja.2014-21

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