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

TY - UNPB

T1 - Testing for near I (2) trends when the signal to noise ratio is small

AU - Juselius, Katarina

PY - 2014/5/21

Y1 - 2014/5/21

N2 - 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.

AB - 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.

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

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

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -