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Pdf F800 The Economic Journal November Unit Roots Cointegration And

Leo Migdal
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pdf f800 the economic journal november unit roots cointegration and

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. This paper provides an updated survey of a burgeoning literature on testing, estimation and model speciftcation in the presence of integrated variables. Integrated variables are a speciftc class of non-stationary variables which seem to characterise faithfully the properties of many macroeconomic time series. The analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher's point of view.

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain why an MA component has often been found in univariate ARIMA models for economic time series. Thereby, it has important implications for unit root tests in univariate settings given the well-known size distortion of popular unit root test in the presence of a large negative coefficient in the MA component. In a small simulation experiment, considering several popular unit root tests and the ADF sieve bootstrap unit tests, we find that, besides the well known size distortion effect, there can be substantial differences in...

focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint con…rmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure. Please enter the email address that the record information will be sent to. Please add any additional information to be included within the email. If you are the owner of this record, you can report an update to it here: Report update to this record

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Academia.edu No Longer Supports Internet Explorer. To Browse Academia.edu And

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. This paper provides an updated survey of a burgeoning literature on testing, estimation and model speciftcation in the presence of integrated variables. Integrated variables are a speciftc class of non-stationary variables whi...

In Cointegration Analysis, It Is Customary To Test The Hypothesis

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain why a...

Focused On The Joint Use Of Unit Root And Stationarity

focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint con…rmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure. Please enter the email address that the record information will be sent to. Please ...

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