IDEAS home Printed from https://ideas.repec.org/p/ags/uwarer/268616.html
   My bibliography  Save this paper

The Size And The Power Of Unit Root Tests Against Fractional Alternatives: A Monte Carlo Investigation

Author

Listed:
  • Yadav, Sanjay
  • Smith, Jeremy

Abstract

This paper investigates the size and power of a number of unit root tests, currently in use in both applied macro and financial economics, when the data generating process is fractionally integrated. The long persistence characteristic of fractionally integrated processes lowers the power of unit root tests, when compared with their power against stationary alternatives. The performance of the unit root tests is investigated extensively in a range of experiments, which permit the fractional process to have normal white noise errors, non-normal white noise errors, heteroscedastic errors and serially correlated errors. Power is not seriously affected by non-normality, but can be adversely affected by heteroscedastic and serially correlated errors.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Yadav, Sanjay & Smith, Jeremy, 1994. "The Size And The Power Of Unit Root Tests Against Fractional Alternatives: A Monte Carlo Investigation," Economic Research Papers 268616, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268616
    DOI: 10.22004/ag.econ.268616
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/268616/files/twerp419.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/268616/files/twerp419.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.268616?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uwarer:268616. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.