ICAR Research Data Repository for Knowledge Management
Testing for near I(2) trends when the signal to noise ratio is small [Dataset]
Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)
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| Title |
Testing for near I(2) trends when the signal to noise ratio is small [Dataset]
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| Identifier |
https://doi.org/10.7910/DVN/24733
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| Creator |
Juselius, Katarina
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| Publisher |
Harvard Dataverse
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| Description |
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. The paper demonstrates by simulations that this often happens when the signal-to-noise-ratio is small.
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| Subject |
univariate and multivariate unit root tests
double unit roots near I(2) |
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| Date |
2014
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| Type |
aggregate
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