On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles

Paulo Rodrigues
Authors registered in the RePEc Author Service: Tomás del Barrio Castro and Robert Taylor

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: 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)
Pages: 18 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
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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