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On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
Castro, T.B, P.M. Rodrigues, A.R. Taylor
(2013),
On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles, CEFAGE-UE Working Paper 2013/11.
Resumo:
In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots can severely bias the size properties of these unit root test procedures.
Download: 2013_11.pdf
Keywords:
Phillips-Perron unit root test; Non-stationarity; Serial correlation; Cyclicality; Busi- ness cycles.
