Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62170
Authors: 
Lanne, Markku
Saikkonen, Pentti
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,12
Abstract: 
The use of asymptotic critical values in stationarity tests against the alternative of a unit rot process is known to lead to overrejections in finite samples when the considered process is stationary but highly persistent. We claim that in recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe the short-run dynamics of the process are replaced by estimators. We suggest a modification that corrects for these errors and show by simulation that the modified test works reasonably well whenn the persistence is moderate and there is no time trend in the model. An empirical illustration withinflation rate data is provided.
Subjects: 
stationarity test
inflation rate
JEL: 
C12
C22
E31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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