GLS-based unit root tests for bounded processes

Josep Carrion-i-Silvestre and María Gadea ()

Economics Letters, 2013, vol. 120, issue 2, 184-187

Abstract: We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded processes.

Keywords: Unit root; Bounded process; Quasi-GLS-detrending (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Working Paper: GLS based unit root tests for bounded processes (2013)
Working Paper: GLS based unit root tests for bounded processes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:184-187

DOI: 10.1016/j.econlet.2013.04.016

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