Analisis del sesgo producido en los contrastes univariantes de phillips-ouliaris-joyeux por la utilizacion de ventanas espectrales

Andreu Sansó, Ernest Pons Fanals, Manuel Artís and Jordi Suriñach

No 16, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure introduces a bias in the estimation. In this paper, we show that for usually sample sizes used in Econometrics, this bias is sufficiently important to invalidate the use of such non-parametric tests. We report support to this conclusion both analytically and using Monte Carlo experiments.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 0 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:bar:bedcje:199716

Access Statistics for this paper

More papers in Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Espai de Recerca en Economia ().