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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57608
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dc.contributor.authorCarrión i Silvestre, Josep Lluís-
dc.contributor.authorGadea Rivas, María Dolores-
dc.date.accessioned2014-09-25T07:38:21Z-
dc.date.available2014-09-25T07:38:21Z-
dc.date.issued2013-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/57608-
dc.description.abstractWe 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.-
dc.format.extent16 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201304.pdf-
dc.relation.ispartofIREA – Working Papers, 2013, IR13/04-
dc.relation.ispartofAQR – Working Papers, 2013, AQR13/02-
dc.relation.ispartofseries[WP E-AQR13/02]-
dc.relation.ispartofseries[WP E-IR13/04]-
dc.rightscc-by-nc-nd, (c) Carrión i Silvestre et al., 2013-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))-
dc.subject.classificationEconometria-
dc.subject.classificationAnàlisi de sèries temporals-
dc.subject.classificationAnàlisi de regressió-
dc.subject.classificationFuncions analítiques-
dc.subject.classificationOperadors integrals-
dc.subject.otherEconometrics-
dc.subject.otherTime-series analysis-
dc.subject.otherRegression analysis-
dc.subject.otherAnalytic functions-
dc.subject.otherIntegral operators-
dc.titleGLS based unit root tests for bounded processeseng
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-09-25T07:38:21Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
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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