Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/12441
Title: | A Simple Testing Procedure for Unit Root and Model Specification |
Authors: | Costantini, M Sen, A |
Keywords: | unit root;break date;trend break;level shift;F-test;model mis-specification |
Issue Date: | 2016 |
Publisher: | Elsevier |
Citation: | Costantini, M. and Sen, A. (2016) 'A simple testing procedure for unit root and model specification', Computational Statistics & Data Analysis, 102, pp. 37-54. doi: https://doi.org/10.1016/j.csda.2016.04.001. |
Abstract: | © 2016 The Authors. Tests for the joint null hypothesis of a unit root based on the components representation of a time series are developed. The proposed testing procedure is designed todetect a unit root as well as guide the practitioner regarding the specification of trend component of a time series. The limiting null distributions of the newly developed F-statistics are derived. Finite sample simulation evidence shows that the F-statistics maintain their size, and have power against the trend-break stationary alternative. The use of our methodology is illustrated through an empirical examination of the US-UK real exchange rate, the UK industrial production, and the UK CPI series. |
URI: | https://bura.brunel.ac.uk/handle/2438/12441 |
DOI: | https://doi.org/10.1016/j.csda.2016.04.001 |
ISSN: | 1872-7352 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Fulltext.pdf | 468.37 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.