Abstract

http://ssrn.com/abstract=2189430
 
 

References (14)



 
 

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Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis


Anton Skrobotov


Russian Presidential Academy of National Economy and Public Administration

October 1, 2013


Abstract:     
In this paper we investigate the behavior of stationarity tests proposed by Muller (2005) and Harris et al. (2007) with uncertainty over the trend and/or initial condition. As for different magnitudes of local trend and initial value different tests are efficient, we propose following Harvey et al. (2008) the decision rule based on the rejection of null hypothesis for multiple tests. Also we propose the modification of this decision rule using additional information obtained through pre-testing about magnitudes of local trend and/or initial value. The resulting modification has good size properties under both types of uncertainty.

Number of Pages in PDF File: 20

Keywords: Stationarity test, KPSS test, uncertainty over the trend, uncertainty over the initial condition, size distortion, intersection of rejection decision rule

JEL Classification: C12, C22

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Date posted: December 14, 2012 ; Last revised: November 19, 2013

Suggested Citation

Skrobotov, Anton, Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis (October 1, 2013). Available at SSRN: http://ssrn.com/abstract=2189430 or http://dx.doi.org/10.2139/ssrn.2189430

Contact Information

Anton Skrobotov (Contact Author)
Russian Presidential Academy of National Economy and Public Administration ( email )
Vernadsky Avenue 82
Moscow, 119571
Russia
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References:  14
Citations:  1
Footnotes:  5

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