Reducing size distortions of parametric stationarity tests

Markku Lanne and Pentti Saikkonen

No 2000,12, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: The use of asymptotic critical values in stationarity tests against the alternative of a unit rot process is known to lead to overrejections in finite samples when the considered process is stationary but highly persistent. We claim that in recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe the short-run dynamics of the process are replaced by estimators. We suggest a modification that corrects for these errors and show by simulation that the modified test works reasonably well whenn the persistence is moderate and there is no time trend in the model. An empirical illustration withinflation rate data is provided.

Keywords: stationarity test; inflation rate (search for similar items in EconPapers)
JEL-codes: C12 C22 E31 (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/62170/1/722939388.pdf (application/pdf)

Related works:
Journal Article: Reducing size distortions of parametric stationarity tests (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200012

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().