Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/12441
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Costantini, M | - |
dc.contributor.author | Sen, A | - |
dc.date.accessioned | 2016-04-04T12:42:05Z | - |
dc.date.available | 2016-10-02 | - |
dc.date.available | 2016-04-04T12:42:05Z | - |
dc.date.issued | 2016 | - |
dc.identifier.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. | en_US |
dc.identifier.issn | 1872-7352 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/12441 | - |
dc.description.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. | en_US |
dc.format.extent | 37 - 54 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2016 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0/). | - |
dc.subject | unit root | en_US |
dc.subject | break date | en_US |
dc.subject | trend break | en_US |
dc.subject | level shift | en_US |
dc.subject | F-test | en_US |
dc.subject | model mis-specification | en_US |
dc.title | A Simple Testing Procedure for Unit Root and Model Specification | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.csda.2016.04.001 | - |
dc.relation.isPartOf | Computational Statistics and Data Analysis | - |
pubs.publication-status | Published | - |
pubs.volume | 102 | - |
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.