EconPapers    
Economics at your fingertips  
 

Linear vs. Log‐linear Unit‐Root Specification: An Application of Mis‐specification Encompassing*

Aris Spanos, David Hendry and J Reade

Oxford Bulletin of Economics and Statistics, 2008, vol. 70, issue s1, 829-847

Abstract: The objective of this paper is to apply the mis‐specification (M‐S) encompassing perspective to the problem of choosing between linear and log‐linear unit‐root models. A simple M‐S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. It is shown that by focusing on the conditional process the sampling distributions of the relevant statistics are well behaved under both the null and alternative hypotheses. The proposed M‐S encompassing test is illustrated using US total disposable income quarterly data.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/j.1468-0084.2008.00532.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:70:y:2008:i:s1:p:829-847

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-31
Handle: RePEc:bla:obuest:v:70:y:2008:i:s1:p:829-847