Testing for near I (2) trends when the signal to noise ratio is small

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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.

OriginalsprogEngelsk
UdgivelsesstedKbh.
UdgiverØkonomisk institut, Københavns Universitet
Antal sider22
StatusUdgivet - 21 maj 2014
NavnUniversity of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer01
Vol/bind2014
ISSN1601-2461

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