Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels

This paper re-evaluates key past results of unit root tests, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The decision-based significance levels for popular unit root tests, chosen using the line of enlightened judgement...

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Bibliographic Details
Main Authors: Jae H. Kim, In Choi
Format: Article
Language:English
Published: MDPI AG 2017-09-01
Series:Econometrics
Subjects:
expected loss
line of enlightened judgement
power of the test
response surface
Online Access:https://www.mdpi.com/2225-1146/5/3/41

Internet

https://www.mdpi.com/2225-1146/5/3/41

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