کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097618 | 1376599 | 2006 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test](/preview/png/5097618.png)
چکیده انگلیسی
Cointegration, common cycle, and related tests statistics are often constructed using logged data, even without clear reason why logs should be used rather than levels. Unfortunately, it is also the case that standard data transformation tests, such as those based on Box-Cox transformations, cannot be shown to be consistent unless assumptions concerning whether variables I(0) or I(1) are made. In this paper, we propose a simple randomized procedure for choosing between levels and log-levels specifications in the (possible) presence of deterministic and/or stochastic trends, and discuss the impact of incorrect data transformation on common cycle, cointegration and unit root tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 195-229
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 195-229
نویسندگان
Valentina Corradi, Norman R. Swanson,