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GLS-detrending and regime-wise stationarity testing in small samples

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Author Info
Lopez, Claude

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Abstract

The proposed version of the DF-GLS test incorporates up to two breaks in the intercept. While the asymptotic properties of the DF-GLS test remain valid, the changes in the intercept have an impact on the small sample properties of the test.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4W32KHY-1/2/cc42e2c7578f4ea84ffdb5acc2bee74e
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 104 (2009)
Issue (Month): 2 (August)
Pages: 99-101
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Handle: RePEc:eee:ecolet:v:104:y:2009:i:2:p:99-101

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Related research
Keywords: Unit root Structural changes GLS-detrending Power;

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  1. Claude Lopez, 2008. "Euro-zone Inflation Rates: Stationary or Regime-wise Stationary Processes," University of Cincinnati, Economics Working Papers Series 2008-02, University of Cincinnati, Department of Economics, revised 2008. [Downloadable!]
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This page was last updated on 2009-12-12.

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