Journal Article

No. 2014-21 | May 21, 2014
Testing for Near I(2) Trends When the Signal-to-Noise Ratio Is Small PDF Icon

Abstract

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The paper demonstrates by simulations that this often happens when the signal-to-noise ratio is small.

Data Set

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The data set for this article can be found at: http://dx.doi.org/10.7910/DVN/24733

JEL Classification

C1 C18 C22 C32 C52

Citation

Katarina Juselius (2014). Testing for Near I(2) Trends When the Signal-to-Noise Ratio Is Small. Economics: The Open-Access, Open-Assessment E-Journal, 8 (2014-21): 1—30. http://dx.doi.org/10.5018/economics-ejournal.ja.2014-21

Assessment

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