کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097475 | 1478583 | 2006 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Minimizing the impact of the initial condition on testing for unit roots
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The outcome of popular unit root tests depends heavily on the initial condition, i.e. on the difference between the initial observation and the deterministic component. In some applications it is difficult to rule out small or large values of the initial condition a priori, so this dependence can be quite difficult to deal with in practice. We explore a number of methods for constructing unit root tests whose properties are less affected by the initial condition. We show that no nontrivial test can remain completely unaffected, and instead derive an asymptotically efficient unit root test whose power varies relatively little as a function of the initial condition.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 135, Issues 1â2, NovemberâDecember 2006, Pages 285-310
Journal: Journal of Econometrics - Volume 135, Issues 1â2, NovemberâDecember 2006, Pages 285-310
نویسندگان
Graham Elliott, Ulrich K. Müller,