The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots

Gawon Yoon

No 728, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper shows that the recently proposed tests of linear and logarithmic transformations for integrated processes against each other by Kobayashi and McAleer (1999) are severely biased for alternative hypotheses when the true data generating process is a stochastic unit root. An empirical example with four daily bond yields is also provided

Keywords: data transformation; (stochastic) unit roots; nonnested tests (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:728

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