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
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Bianchi, Marco
Settori scientifico-disciplinari
Area 13 - Scienze economiche e statistiche > SECS-P/01 Economia politica
ISSN
2282-6483
DOI
10.6092/unibo/amsacta/5234
Data di deposito
22 Giu 2016 07:59
Ultima modifica
22 Giu 2016 07:59
URI
https://amsacta.unibo.it/id/eprint/5234

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