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The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots

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Author Info
Gawon Yoon
Abstract

This paper shows that the recently proposed tests of linear and logarithmic transformations for integrated processes against each other by Kobayashi and McAleer (1999) are severely biased for alternative hypotheses when the true data generating process is a stochastic unit root. An empirical example with four daily bond yields is also provided

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File URL: http://repec.org/esFEAM04/up.31606.1080741546.pdf
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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 728.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:728

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Related research
Keywords: data transformation; (stochastic) unit roots; nonnested tests;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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