A Remark on Unit Root Tests and Measures of Persistence

Bianchi, Marco (1992) A Remark on Unit Root Tests and Measures of Persistence. Bologna: Dipartimento di Scienze economiche DSE, p. 12. DOI 10.6092/unibo/amsacta/5234. In: Quaderni - Working Paper DSE (126). ISSN 2282-6483.
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Abstract

In this paper we simulate a series which is segmented trend plus noise. Despite the imposed data generating process, usual tests for unit roots and estimates of persistence fail to reject the random walk hypothesis.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Bianchi, Marco
Subjects
ISSN
2282-6483
DOI
Deposit date
22 Jun 2016 07:59
Last modified
22 Jun 2016 07:59
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