Abstract
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The paper demonstrates by simulations that this often happens when the signal-tonoise ratio is small.
Originalsprog | Engelsk |
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Udgivelsessted | Kbh. |
Udgiver | Økonomisk institut, Københavns Universitet |
Antal sider | 22 |
Status | Udgivet - 21 maj 2014 |
Navn | University of Copenhagen. Institute of Economics. Discussion Papers (Online) |
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Nummer | 01 |
Vol/bind | 2014 |
ISSN | 1601-2461 |