Abstract
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our paper demonstrates by
simulations that this often happens when the signal-to-noise-ratio is small.
simulations that this often happens when the signal-to-noise-ratio is small.
| Original language | English |
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| Place of Publication | Kbh. |
| Publisher | Økonomisk institut, Københavns Universitet |
| Number of pages | 22 |
| Publication status | Published - 2014 |
| Series | University of Copenhagen. Institute of Economics. Discussion Papers (Online) |
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| Number | 01 |
| Volume | 2014 |
| ISSN | 1601-2461 |