 The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS DetrendingJournal of Time Series Analysis, 2015, vol. 36, issue 4, 562-586 Abstract: type="main" xml:id="jtsa12123-abs-0001"> Many unit root test statistics are based on detrended data, with the method of generalized least squares (GLS) detrending being popular in the setting of a near-integrated model. This article determines the properties of some associated limiting distributions when the GLS detrending is based on a linear time trend. A fundamental result for the moment generating function of two key functionals of the relevant stochastic process is provided and used to compute probability density functions and cumulative distribution functions, as well as means and variances, of the limiting distributions of some statistics of interest. The exact moments and percentiles of some of these distributions are compared with those obtained by simulations, and it is found that, even with a large number of replications and a large sample size, the errors resulting from the simulation methods are not negligible. Some further applications, including a comparison of limiting power functions of different unit root test statistics and the consideration of a more complicated statistic, are also provided. Date: 2015 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:36:y:2015:i:4:p:562-586 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Time Series Analysis is currently edited by M.B. Priestley More articles in Journal of Time Series Analysis from Wiley Blackwell |
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