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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: an application of the simple NoVaS transformation
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
2017 (English)In: Cogent Economics & Finance, E-ISSN 2332-2039, Vol. 5, no 1, 23 p.1274282Article in journal (Refereed) Published
Abstract [en]

In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS-modified critical values either have the same power as, or slightly better than, tests using conventional Dickey–Fuller critical values across the sample range considered.

Place, publisher, year, edition, pages
Taylor & Francis, 2017. Vol. 5, no 1, 23 p.1274282
Keyword [en]
critical values, normalizing and variance-stabilizing transformation, unit root tests
National Category
Economics
Research subject
Economy
Identifiers
URN: urn:nbn:se:lnu:diva-50643DOI: 10.1080/23322039.2016.1274282OAI: oai:DiVA.org:lnu-50643DiVA: diva2:911480
Available from: 2016-03-11 Created: 2016-03-11 Last updated: 2017-03-17Bibliographically approved

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Mantalos, Panagiotis
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CiteExportLink to record
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Citation style
  • apa
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