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IR13-004_Carrion-Gadea.pdf (635.38 KB)

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Working paper

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2013

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cc-by-nc-nd, (c) Carrión i Silvestre et al., 2013
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/57608

GLS based unit root tests for bounded processes

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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.

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Econometria, Anàlisi de sèries temporals, Anàlisi de regressió, Funcions analítiques, Operadors integrals

Subject (English)

Econometrics, Time-series analysis, Regression analysis, Analytic functions, Integral operators

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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)

Citation

CARRIÓN I SILVESTRE, Josep Lluís and GADEA RIVAS, María Dolores. GLS based unit root tests for bounded processes. IREA – Working Papers. 2013. Vol.  IR13/04. ISSN 2014-1254. [consulted: 8 of June of 2026]. Available at: https://hdl.handle.net/2445/57608

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