Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97646
Authors: 
Juselius, Katarina
Year of Publication: 
2014
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 8 [Issue:] 2014-21 [Pages:] 1-30
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 they frequently find double unit roots in the data. The 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
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

Files in This Item:
File
Size
518.78 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.