Commentaries on “Unit root testing in practice: dealing with uncertainty over the trend and initial condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor created by Patrick Marsh, Ulrich K. Müller, Jörg Breitung and Peter Burridge, Zhijie Xiao

By:

Marsh, Patrick [author]

Contributor(s):

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 3Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Commentary

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: Harvey, Leybourne, and Taylor focuses on issues related to trend and initial condition uncertainty. Initial condition is not observable or estimable in practice, and so it is impossible to directly use information about initial condition. However, initial condition uncertainty does affect the selection of a more efficient (say) detrending procedure. For this reason, researchers want to take into account initial condition uncertainty when selecting a detrending method.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.3 (pages 637-657)	SP3258	Not for loan	For In House Use Only

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Previous	HB139.T52 ECO Finite-sample moments of the coefficient of variation	HB139.T52 ECO Adding regressors to obtain efficiency	HB139.T52 ECO Unit root testing in practice: dealing with uncertainty over the trend and initial condition	HB139.T52 ECO Commentaries on “Unit root testing in practice: dealing with uncertainty over the trend and initial condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor	HB139.T52 ECO Rejoinder	HB139.T52 ECO Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities	HB139.T52 ECO Asymptotic theory for local time density estimation and nonparametric cointegrating regression	Next

Harvey, Leybourne, and Taylor focuses on issues related to trend and initial condition uncertainty. Initial condition is not observable or estimable in practice, and so it is impossible to directly use information about initial condition. However, initial condition uncertainty does affect the selection of a more efficient (say) detrending procedure. For this reason, researchers want to take into account initial condition uncertainty when selecting a detrending method.

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