Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171907 
Erscheinungsjahr: 
2017
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-26
Verlag: 
MDPI, Basel
Zusammenfassung: 
This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and uniformly most powerful, to allow for a slope change in trend with or without a concurrent level shift under both the null and alternative hypotheses. We show that the limit distribution of the proposed LM tests is standard normal. Finite sample simulation experiments show that the tests have good size and power. As an empirical analysis, we apply the tests to the Consumer Price Indices of the G7 countries.
Schlagwörter: 
hypothesis testing
LM test
slope change
spurious break
trend function
JEL: 
C22
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
476.87 kB





Publikationen in EconStor sind urheberrechtlich geschützt.