Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
United Arab Emirates University.
2014 (English)In: Empirical Economics Review, ISSN 2222-9736, Vol. 3, no 1, p. 83-97Article in journal (Refereed) Published
Abstract [en]

The classic Dickey-Fuller unit-root test can be applied using three different equations, depending upon the inclusion of a constant and/or a time trend in the regression equation. This paper investigates the size and power properties of a unit-root testing strategy outlined in Enders (2004), which allows for repeated testing of the unit root with the three equations depending on the significance of various parameters in the equations. This strategy is similar to strategies suggested by others for unit root testing. Our Monte Carlo simulation experiments show that serious mass significance problems prevail when using the strategy suggested by Enders. Excluding the possibility of unrealistic outcomes and using a priori information on whether there is a trend in the underlying time series, as suggested by Elder and Kennedy (2001), reduces the mass significance problem for the unit root test and improves power for that test. Subsequent testing for whether a trend exists is seriously affected by testing for the unit root first, however.

Place, publisher, year, edition, pages
2014. Vol. 3, no 1, p. 83-97
National Category
Probability Theory and Statistics Economics
Identifiers
URN: urn:nbn:se:hj:diva-24440Local ID: IHHEFSISOAI: oai:DiVA.org:hj-24440DiVA, id: diva2:740928
Available from: 2014-08-26 Created: 2014-08-26 Last updated: 2016-01-22Bibliographically approved

Open Access in DiVA

No full text in DiVA

Authority records BETA

Hacker, R. Scott

Search in DiVA

By author/editor
Hacker, R. Scott
By organisation
JIBS, Economics, Finance and Statistics
Probability Theory and StatisticsEconomics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 1300 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf