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http://hdl.handle.net/2445/57608| Title: | GLS based unit root tests for bounded processes |
| Author: | Carrión i Silvestre, Josep Lluís Gadea Rivas, María Dolores |
| Keywords: | Econometria Anàlisi de sèries temporals Anàlisi de regressió Funcions analítiques Operadors integrals Econometrics Time-series analysis Regression analysis Analytic functions Integral operators |
| Issue Date: | 2013 |
| Publisher: | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública |
| Series/Report no: | [WP E-AQR13/02] [WP E-IR13/04] |
| Abstract: | We show that the use of generalized least squares (GLS) detrending procedures leads to important empirical power gains compared to ordinary least squares (OLS) detrending method when testing the null hypothesis of unit root for bounded processes. The non-centrality parameter that is used in the GLS-detrending depends on the bounds, so that improvements on the statistical inference are to be expected if a case-speci.c parameter is used. This initial hypothesis is supported by the simulation experiment that has been conducted. |
| Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201304.pdf |
| It is part of: | IREA – Working Papers, 2013, IR13/04 AQR – Working Papers, 2013, AQR13/02 |
| URI: | http://hdl.handle.net/2445/57608 |
| ISSN: | 2014-1254 |
| Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) AQR (Grup d’Anàlisi Quantitativa Regional) – Working Papers Documents de treball / Informes (Econometria, Estadística i Economia Aplicada) |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| IR13-004_Carrion-Gadea.pdf | 635.38 kB | Adobe PDF | View/Open |
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