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.
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