Pubblicazioni

Autori:

Cappuccio, Nunzio; Lubian, Diego

Titolo:

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

Anno:

2016

Tipologia prodotto:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Lingua:

Inglese

Formato:

Elettronico

Referee:

Sì

Nome rivista:

ECONOMETRICS

ISSN Rivista:

2225-1146

N° Volume:

4

Numero o Fascicolo:

21

Intervallo pagine:

1-11

Parole chiave:

unit root tests; multivariate time series; cointegration

Breve descrizione dei contenuti:

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.

Pagina Web:

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

Id prodotto:

93371

Handle IRIS:

11562/949885

ultima modifica:

27 giugno 2024

Citazione bibliografica:

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