On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
Tomás del Barrio Castro (),
Paulo Rodrigues () and
CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)
Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots can severely bias the size properties of these unit root test procedures.
Keywords: Phillips-Perron unit root test; Non-stationarity; Serial correlation; Cyclicality; Busi- ness cycles. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2013_11
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