Article ID Journal Published Year Pages File Type
5059803 Economics Letters 2013 4 Pages PDF
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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GLS-based unit root tests for bounded processes
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