Testing for near I (2) trends when the signal to noise ratio is small

Publikation: Working paper › Forskning

Standard

Testing for near I (2) trends when the signal to noise ratio is small. / Juselius, Katarina.

Kbh. : Økonomisk institut, Københavns Universitet, 2014.

Publikation: Working paper › Forskning

Harvard

Juselius, K 2014 'Testing for near I (2) trends when the signal to noise ratio is small' Økonomisk institut, Københavns Universitet, Kbh.

APA

Juselius, K. (2014). Testing for near I (2) trends when the signal to noise ratio is small. Økonomisk institut, Københavns Universitet. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Bind 2014 Nr. 01

Vancouver

Juselius K. Testing for near I (2) trends when the signal to noise ratio is small. Kbh.: Økonomisk institut, Københavns Universitet. 2014.

Author

Juselius, Katarina. / Testing for near I (2) trends when the signal to noise ratio is small. Kbh. : Økonomisk institut, Københavns Universitet, 2014. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 01, Bind 2014).

Bibtex

@techreport{16fd304410ad4c9bb50e0f10f4fc4819,
title = "Testing for near I (2) trends when the signal to noise ratio is small",
abstract = "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. Our paper demonstrates bysimulations that this often happens when the signal-to-noise-ratio is small.",
author = "Katarina Juselius",
year = "2014",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "01",
publisher = "{\O}konomisk institut, K{\o}benhavns Universitet",
type = "WorkingPaper",
institution = "{\O}konomisk institut, K{\o}benhavns Universitet",

}

RIS

TY - UNPB

T1 - Testing for near I (2) trends when the signal to noise ratio is small

AU - Juselius, Katarina

PY - 2014

Y1 - 2014

N2 - 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. Our paper demonstrates bysimulations that this often happens when the signal-to-noise-ratio is small.

AB - 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. Our paper demonstrates bysimulations that this often happens when the signal-to-noise-ratio is small.

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Testing for near I (2) trends when the signal to noise ratio is small

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -

ID: 101017294