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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
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:
It is part of: IREA – Working Papers, 2013, IR13/04
AQR – Working Papers, 2013, AQR13/02
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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