Trend and Initial Condition in Stationarity Tests

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Trend and Initial Condition in Stationarity Tests : The Asymptotic Analysis. / Skrobotov, Anton.

In: Oxford Bulletin of Economics and Statistics, Vol. 77, No. 2, 01.04.2015, p. 254-273.

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Author

Skrobotov, Anton. / Trend and Initial Condition in Stationarity Tests : The Asymptotic Analysis. In: Oxford Bulletin of Economics and Statistics. 2015 ; Vol. 77, No. 2. pp. 254-273.

BibTeX

@article{32174ba41de846a2bac07283b79d9c8e,

title = "Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis",

abstract = "In this article, we investigate the behaviour of stationarity tests proposed by M{\"u}ller [Journal of Econometrics (2005) Vol. 128, pp. 195-213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355-363] with uncertainty over the trend and/or initial condition. As different tests are efficient for different magnitudes of local trend and initial condition, following Harvey et al. [Journal of Econometrics (2012) Vol. 169, pp. 188-195], we propose decision rule based on the rejection of null hypothesis for multiple tests. Additionally, we propose a modification of this decision rule, relying on additional information about the magnitudes of the local trend and/or the initial condition that is obtained through pre-testing. The resulting modification has satisfactory size properties under both uncertainty types.",

author = "Anton Skrobotov",

note = "Publisher Copyright: {\textcopyright} 2014 The Department of Economics, University of Oxford and John Wiley & Sons Ltd.",

year = "2015",

month = apr,

day = "1",

doi = "10.1111/obes.12057",

language = "English",

volume = "77",

pages = "254--273",

journal = "Oxford Bulletin of Economics and Statistics",

issn = "0305-9049",

publisher = "Wiley-Blackwell",

number = "2",

}

RIS

TY - JOUR

T1 - Trend and Initial Condition in Stationarity Tests

T2 - The Asymptotic Analysis

AU - Skrobotov, Anton

PY - 2015/4/1

Y1 - 2015/4/1

N2 - In this article, we investigate the behaviour of stationarity tests proposed by Müller [Journal of Econometrics (2005) Vol. 128, pp. 195-213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355-363] with uncertainty over the trend and/or initial condition. As different tests are efficient for different magnitudes of local trend and initial condition, following Harvey et al. [Journal of Econometrics (2012) Vol. 169, pp. 188-195], we propose decision rule based on the rejection of null hypothesis for multiple tests. Additionally, we propose a modification of this decision rule, relying on additional information about the magnitudes of the local trend and/or the initial condition that is obtained through pre-testing. The resulting modification has satisfactory size properties under both uncertainty types.

AB - In this article, we investigate the behaviour of stationarity tests proposed by Müller [Journal of Econometrics (2005) Vol. 128, pp. 195-213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355-363] with uncertainty over the trend and/or initial condition. As different tests are efficient for different magnitudes of local trend and initial condition, following Harvey et al. [Journal of Econometrics (2012) Vol. 169, pp. 188-195], we propose decision rule based on the rejection of null hypothesis for multiple tests. Additionally, we propose a modification of this decision rule, relying on additional information about the magnitudes of the local trend and/or the initial condition that is obtained through pre-testing. The resulting modification has satisfactory size properties under both uncertainty types.

UR - http://www.scopus.com/inward/record.url?scp=84924797583&partnerID=8YFLogxK

U2 - 10.1111/obes.12057

DO - 10.1111/obes.12057

M3 - Article

AN - SCOPUS:84924797583

VL - 77

SP - 254

EP - 273

JO - Oxford Bulletin of Economics and Statistics

JF - Oxford Bulletin of Economics and Statistics

SN - 0305-9049

IS - 2

ER -

ID: 92711643