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Margherita Gerolimetto and Stefano Magrini
''On the power of the simulation-based ADF test in bounded time series''
( 2017, Vol. 37 No.1 )
Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among which the ADF), valid in case the time series under test is bounded. In this note, we present a Monte Carlo study to investigate, in particular, the power of the simulation-based ADF test against bounded near unit root and bounded fractionally integrated alternative processes. Results show a rather good performance of the simulation-based ADF test, particularly for near unit root alternatives.
Keywords: Bounded time series, Stationarity, Unit root tests, Monte Carlo experiment
JEL: C1 - Econometric and Statistical Methods: General
C6 - Mathematical Methods and Programming: General
Manuscript Received : Mar 31 2016 Manuscript Accepted : Mar 20 2017

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