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Modified Stationarity Tests with Data-Dependent Model-Selection Rules

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  • Leybourne, S J
  • McCabe, B P M

Abstract

The authors describe some simple methods for improving the performance of stationarity tests (i.e., tests that have a stationary null and a unit-root alternative). Specifically, they increase the rate of convergence of the test under the unit-root alternative from O-N9-p(T) to O-N9-p(T-N9-2), then suggest an optimal method of selecting the order of the autoregressive component in the fitted autoregressive integrated moving average model on which the test is based. Simulation evidence suggests that these modifications work well. The authors apply the modified procedure to U.S. monthly macroeconomic data and uncover new evidence of a unit root in unemployment.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 17 (1999)
Issue (Month): 2 (April)
Pages: 264-70

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Handle: RePEc:bes:jnlbes:v:17:y:1999:i:2:p:264-70

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Cited by:
  1. Minea, Alexandru & Rault, Christophe, 2011. "External Monetary Shocks and Monetary Integration: Evidence from the Bulgarian Currency Board," IZA Discussion Papers 5797, Institute for the Study of Labor (IZA).
  2. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
  3. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 1," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(3), pages 261-337.
  4. Kurozumi, Eiji, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
  5. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
  6. John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
  7. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
  8. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
  9. Gabriel, Vasco J., 2003. "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, vol. 78(1), pages 17-25, January.
  10. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
  11. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
  12. Raul Crespo, 2005. "Total Factor Productivity: An Unobserved Components Approach," Bristol Economics Discussion Papers 05/579, Department of Economics, University of Bristol, UK.
  13. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  14. Slade, Margaret E., 2001. "Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments," Journal of Environmental Economics and Management, Elsevier, vol. 41(2), pages 193-233, March.
  15. Muller, Ulrich K., 2005. "Size and power of tests of stationarity in highly autocorrelated time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 195-213, October.

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