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GLS-detrending and Regime-wise Stationarity Testing in Small Samples

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Author Info
Claude Lopez ()

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Abstract

This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test. Hence, finite sample critical values for the DF-GLSTB test are tabulated while a Monte Carlo study highlights its enhanced power.

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File URL: http://www.artsci.uc.edu/collegedepts/economics/research/docs/Wppdf/2008-01.pdf
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Publisher Info
Paper provided by University of Cincinnati, Department of Economics in its series University of Cincinnati, Economics Working Papers Series with number 2008-01.

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Date of creation: 2008
Date of revision: 2008
Handle: RePEc:cin:ucecwp:2008-01

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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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