| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061674 | Economics Letters | 2009 | 4 Pages |
Abstract
It is showed that the magnitude of the initial condition of a highly persistent process affects the properties of stationarity tests applied to the first differences, with a “relatively large” initial condition implying non-negligible oversizing. An empirical illustration is provided.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Fabio Busetti,