Publications

Authors:

Cappuccio, Nunzio; Lubian, Diego

Title:

Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series

Year:

2016

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Format:

Elettronico

Referee:

Sì

Name of journal:

ECONOMETRICS

ISSN of journal:

2225-1146

N° Volume:

4

Number or Folder:

21

Page numbers:

1-11

Keyword:

unit root tests; multivariate time series; cointegration

Short description of contents:

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain why an MA component has often been found in univariate ARIMA models for economic time series. Thereby, it has important implications for unit root tests in univariate settings given the well-known size distortion of popular unit root test in the presence of a large negative coefficient in the MA component. In a small simulation experiment, considering several popular unit root tests and the ADF sieve bootstrap unit tests, we find that, besides the well known size distortion effect, there can be substantial differences in size distortion according to which univariate time series is tested for the presence of a unit root.

Web page:

http://www.mdpi.com/search?q=&amp
authors=cappuccio&amp
article_type=&amp
journal=econometrics§ion=&amp
special_issue=&amp
search=Search

Product ID:

93371

Handle IRIS:

11562/949885

Last Modified:

June 27, 2024

Bibliographic citation:

Cappuccio, Nunzio; Lubian, Diego, Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series «ECONOMETRICS» , vol. 4 , n. 21 , 2016 , pp. 1-11

Consulta la scheda completa presente nel repository istituzionale della Ricerca di Ateneo