MARC details
| 000 -LEADER |
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| fixed length control field |
02654nam a22002777a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240322121135.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240322b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Harvey, David I. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Unit root testing in practice: |
| Remainder of title |
dealing with uncertainty over the trend and initial condition |
| Statement of responsibility, etc. |
created by David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 3 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
In this paper we focus on two major issues that surround testing for a unit root in practice, namely, (i) uncertainty as to whether or not a linear deterministic trend is present in the data and (ii) uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. In each case simple testing procedures are proposed with the aim of maintaining good power properties across such uncertainties. For the first issue, if the initial condition is negligible, quasi-differenced (QD) detrended (demeaned) Dickey–Fuller-type unit root tests are near asymptotically efficient when a deterministic trend is (is not) present in the data generating process. Consequently, we compare a variety of strategies that aim to select the detrended variant when a trend is present, and the demeaned variant otherwise. Based on asymptotic and finite-sample evidence, we recommend a simple union of rejections-based decision rule whereby the unit root null hypothesis is rejected whenever either of the detrended or demeaned unit root tests yields a rejection. Our results show that this approach generally outperforms more sophisticated strategies based on auxiliary methods of trend detection. For the second issue, we again recommend a union of rejections decision rule, rejecting the unit root null if either of the QD or ordinary least squares (OLS) detrended/demeaned Dickey–Fuller-type tests rejects. This procedure is also shown to perform well in practice, simultaneously exploiting the superior power of the QD (OLS) detrended/demeaned test for small (large) initial conditions. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Unit root test |
| Form subdivision |
Trend uncertainty |
| General subdivision |
Initial condition |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Asymptotic power |
| Form subdivision |
Union of rejections decision rule |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Leybourne, Stephen J. |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Taylor, A. M. Robert |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1017/S026646660809018X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |