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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
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Identifier to cite or link to this item: https://doi.org/10.15057/17465
Identifier to cite or link to this item: https://hdl.handle.net/10086/17465
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Title
Construction of Stationarity Tests with Less Size Distortions
Creator
Creator Name
Kurozumi, Eiji
Kurozumi, Eiji
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
LM test
stationary
unit root
JEL
C12
C22
Abstract
We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified version of Leybourne and McCabe's test (1994, LMC), but with adi fferent correction method for serial correlation. A Monte Carlo simulation reveals that in terms of empirical size, our test is closer to the nominal one than the original LMC test and is more powerful than the LMC test with size-adjusted critical values.
Publisher
Hitotsubashi University
Issued Date
2009-06
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/17465
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
50
Issue Number
1
Page Start
87
Page End
105
Appears in Collections
Vol. 50, no. 1 (Jun. 2009)
URL
https://hdl.handle.net/10086/17465
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