Analisis del sesgo producido en los contrastes univariantes de phillips-ouliaris-joyeux por la utilizacion de ventanas espectrales

Andreu Sanso (), Ernest Pons Fanals, Manuel Artís () and Jordi Suriñach

No 16, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure introduces a bias in the estimation. In this paper, we show that for usually sample sizes used in Econometrics, this bias is sufficiently important to invalidate the use of such non-parametric tests. We report support to this conclusion both analytically and using Monte Carlo experiments.

JEL-codes: C22 C12 (search for similar items in EconPapers)
Date: Written

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