On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
AbstractIs In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots can severely bias the size properties of these unit root test procedures.
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Bibliographic InfoPaper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2013_11.
Length: 18 pages
Date of creation: 2013
Date of revision:
Phillips-Perron unit root test; Non-stationarity; Serial correlation; Cyclicality; Busi- ness cycles.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-24 (All new papers)
- NEP-ECM-2013-06-24 (Econometrics)
- NEP-ETS-2013-06-24 (Econometric Time Series)
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