Testing for Near I (2) Trends When the Signal to Noise Ratio is Small

Katarina Juselius

No 14-01, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: Researchers seldom find evidence of I (2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our paper demonstrates by simulations that this often happens when the signal-to-noise-ratio is small.

Pages: 23 pages
Date: 2013-12
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Citations: View citations in EconPapers (1)

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http://www.econ.ku.dk/english/research/publications/wp/dp_2014/1401.pdf (application/pdf)

Related works:
Journal Article: Testing for near I(2) trends when the signal-to-noise ratio is small (2014)
Working Paper: Testing for near I(2) trends when the signal to noise ratio is small (2014)
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