GLS-based unit root tests for bounded processes

被引：8
|
作者：
Lluis Carrion-i-Silvestre, Josep [1 ]
Dolores Gadea, Maria [2 ]
机构：
[1] Univ Barcelona, AQR IREA Res Grp, Dept Econometr Stat & Spanish Econ, Barcelona 08034, Spain
[2] Univ Zaragoza, Dept Appl Econ, Zaragoza 50005, Spain
来源：
ECONOMICS LETTERS | 2013年 / 120卷 / 02期
关键词：
Unit root; Bounded process; Quasi-GLS-detrending; SELECTION;
D O I：
10.1016/j.econlet.2013.04.016
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded processes. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：184 / 187
页数：4
相关论文
共 50 条
12345