How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?

被引:11
|
作者
Lee, Hyejin [1 ]
Meng, Ming [1 ]
Lee, Junsoo [1 ]
机构
[1] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA
关键词
Nonlinear processes; Non normal errors; Unit root; TIME-SERIES;
D O I
10.1080/03610918.2011.566972
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
This article examines how popular nonlinear unit root tests perform in the presence of non normal errors. Non normal errors normally do not pose a problem in the usual linear unit root tests since the least squares estimator will still be the most efficient under certain ideal conditions regardless of normal or non normal errors. Whether similar results will carry over to nonlinear unit root tests with non normal errors is a question that merits examination. We find that in contrast to the linear tests, the presence of non normal errors in nonlinear unit root tests will lead to a significant loss of power.
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页码:1182 / 1191
页数:10
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