Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92417
Authors: 
Juselius, Katarina
Year of Publication: 
2014
Series/Report no.: 
Economics Discussion Papers 2014-8
Abstract: 
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our paper demonstrates by simulations that this often happens when the signal-to-noise-ratio is small.
Subjects: 
univariate and multivariate unit root tests
double unit roots
near I(2)
JEL: 
C1
C18
C22
C32
C52
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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