Initial conditions and stationarity tests

Fabio Busetti

Economics Letters, 2009, vol. 105, issue 3, 296-299

Abstract: It is showed that the magnitude of the initial condition of a highly persistent process affects the properties of stationarity tests applied to the first differences, with a "relatively large" initial condition implying non-negligible oversizing. An empirical illustration is provided.

Keywords: Convergence; Near; unit; root; Stability (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:3:p:296-299

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