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The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending

Chambers, MJ (2013) The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending. UNSPECIFIED. University of Essex, Department of Economcis, Economics Discussion Papers, Colchester.

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Abstract

Many unit root test statistics are nowadays constructed using detrended data, with the method of GLS detrending being popular in the setting of a near-integrated model. This paper determines the properties of some associated limiting distributions when the GLS detrending is based on a linear time trend. A fundamental result for the moment generating function of two key functionals of the relevant stochastic process is provided and used to compute probability density functions and cumulative distribution functions, as well as means and variances, of the limiting distributions of some statistics of interest. Some further applications, including a comparison of limiting power functions and the consideration of a more complicated statistic, are also provided.

Item Type: Monograph (UNSPECIFIED)
Uncontrolled Keywords: GLS detrending; near-integrated model; moment generating function; characteristic function.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Users 161 not found.
Date Deposited: 28 Aug 2014 09:39
Last Modified: 17 Aug 2017 17:53
URI: http://repository.essex.ac.uk/id/eprint/8975

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