Advanced Search
MyIDEAS: Login

On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles

Contents:

Author Info

  • Tomás del Barrio Castro

    (Department of Applied Economics, University of the Balearic Islands)

  • Paulo M.M. Rodrigues

    ()
    (Banco de Portugal, NOVA School of Business and Economics, Universidade Nova de Lisboa, CEFAGE)

  • A.M. Robert Taylor

    (Granger Centre for Time Series Econometrics, University of Nottingham)

Abstract

Is 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cefage.uevora.pt/en/content/download/3726/47746/version/1/file/2013_11.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2013_11.

as in new window
Length: 18 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:cfe:wpcefa:2013_11

Contact details of provider:
Postal: Colégio Espírito SANTO
Phone: (351) 266 740 869
Email:
Web page: http://www.cefage.uevora.pt
More information through EDIRC

Related research

Keywords: Phillips-Perron unit root test; Non-stationarity; Serial correlation; Cyclicality; Busi- ness cycles.;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bierens, Herman J., 2001. "Complex Unit Roots And Business Cycles: Are They Real?," Econometric Theory, Cambridge University Press, vol. 17(05), pages 962-983, October.
  2. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  4. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  5. Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
  6. Jansson, Michael, 2002. "Consistent Covariance Matrix Estimation For Linear Processes," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1449-1459, December.
  7. Taylor, A M Robert, 2003. "Robust Stationarity Tests in Seasonal Time Series Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 156-63, January.
  8. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  9. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2013_11. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.