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Construction of Stationarity Tests with Less Size Distortions

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Author Info
Kurozumi, Eiji

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Abstract

We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified version of Leybourne and McCabe's test (1994, LMC), but with a different correction method for serial correlation. A Monte Carlo simulation reveals that in terms of empirical size, our test is closer to the nominal one than the original LMC test and is more powerful than the LMC test with size-adjusted critical values.

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/16931/1/070econDP05-12.pdf
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Publisher Info
Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2005-12.

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Length: 24, [5] p.
Date of creation: Nov 2005
Date of revision:
Handle: RePEc:hit:econdp:2005-12

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Related research
Keywords: LM test; stationary; unit root;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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