A Remark on Unit Root Tests and Measures of Persistence

M. Bianchi

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: In this paper we simulate a series which is segmented trend plus noise. Despite the imposed data generating process, usual tests for unit roots and estimates of persistence fail to reject the random walk hypothesis.

Date: 1991-12
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:126

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