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Costs of misspecifi...
Costs of misspecification in break-model unit-root tests
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- Maican, Florin G., 1975 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics
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Sweeney, R. J. (författare)
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(creator_code:org_t)
- 2013-09-17
- 2014
- Engelska.
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 46:1, s. 111-118
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This article examines power issues for the ADF and four break models (Perron, 1989; Zivot and Andrews, 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can, but need not, greatly reduce the probability of rejecting the null. Break points that are relatively early in the sample period have substantial effects of increasing power. For modest shifts in time trends, simply including a time trend without shift in the model preserves power, but not for large time-trend shifts.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
Nyckelord
- unit root
- Monte Carlo
- break models
- OIL-PRICE SHOCK
- GREAT CRASH
- HYPOTHESIS
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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