On the power of the simulation-based ADF test in bounded time series

Margherita Gerolimetto () and Stefano Magrini

Economics Bulletin, 2017, vol. 37, issue 1, 539-552

Abstract: Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among which the ADF), valid in case the time series under test is bounded. In this note, we present a Monte Carlo study to investigate, in particular, the power of the simulation-based ADF test against bounded near unit root and bounded fractionally integrated alternative processes. Results show a rather good performance of the simulation-based ADF test, particularly for near unit root alternatives.

Keywords: Bounded time series; Stationarity; Unit root tests; Monte Carlo experiment (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Date: 2017-03-20
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I1-P49.pdf (application/pdf)

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:ebl:ecbull:eb-16-00277

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().