MARC details
| 000 -LEADER |
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| fixed length control field |
01953nam a22002417a 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 |
20240326103908.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240326b |||||||| |||| 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 |
Marsh, Patrick W. N |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
The properties of Kullback-Leibler divergence for the unit root hypothesis |
| Statement of responsibility, etc. |
created by Patrick Marsh |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| 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 |
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| 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 |
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| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 6 |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc. |
The fundamental contributions made by Paul Newbold have highlighted how crucial it is to detect when economic time series have unit roots. This paper explores the effects that model specification has on our ability to do that. Asymptotic power, a natural choice to quantify these effects, does not accurately predict finite-sample power. Instead, here the Kullback–Leibler divergence between the unit root null and any alternative is used and its numeric and analytic properties detailed. Numerically it behaves in a similar way to finite-sample power. However, because it is analytically available we are able to prove that it is a minimizable function of the degree of trending in any included deterministic component and of the correlation of the underlying innovations. It is explicitly confirmed, therefore, that it is approximately linear trends and negative unit root moving average innovations that minimize the efficacy of unit root inferential tools. Applied to the Nelson and Plosser macroeconomic series the effect that different types of trends included in the model have on unit root inference is clearly revealed. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Time series analysis |
| Form subdivision |
Unit root test |
| General subdivision |
Estimation theory |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466609990284 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |