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Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?

Amelie Charles, Olivier Darné and Fabien Tripier ()

Working Papers from HAL

Abstract: This article compares the performances of some non-stationarity tests on simulated series, using the business-cycle model of Chang et al. (2007) [Y. Chang, T. Doh, F. Schorfheide, (2007). Non-stationary Hours in a DSGE Model. Journal of Money, Credit and Banking 39, 357-1373] as data generating process. Overall, Monte Carlo simulations show that the efficient unit root tests of Ng and Perron (2001) [Ng, S., Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554] are more powerful than the standard non-stationarity tests (ADF and KPSS). More precisely, these efficient tests are able to reject frequently the unit-root hypothesis on simulated series using the best specification of business-cycle model found by Chang et al. (2007), in which hours worked are stationary with adjustment costs.

Keywords: unit root rest; DSGE models; hours worked (search for similar items in EconPapers)
Date: 2010-10-18
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00527122
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Related works:
Journal Article: ARE UNIT ROOT TESTS USEFUL IN THE DEBATE OVER THE (NON)STATIONARITY OF HOURS WORKED? (2015) Downloads
Working Paper: Are unit root tests useful in the debate over the (non)stationarity of hours worked? (2015) Downloads
Working Paper: Are Unit Root Tests Useful in the Debate over the (Non) Stationarity of Hours Worked? (2011)
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