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Abstract Details
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Activity Number:
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180
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Type:
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Contributed
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Date/Time:
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Monday, August 1, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #300945 |
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Title:
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Asymptotic Behavior of the Dickey-Fuller and the Augmented Dickey-Fuller Statistics under Spurious Logarithms
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Author(s):
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Kalidas Jana*+
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Companies:
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The University of Texas at Brownsville
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Address:
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Department of Business Administration, Brownsville, TX, 78520,
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Keywords:
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Dickey-Fuller statistics ;
Augmented Dickey-Fuller statistics ;
spurious logarithms
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Abstract:
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Inspired by "Spurious logarithms and the KPSS statistic," [Robert M. de Jong and Peter Schmidt, Economics Letters, 2002, 383-391], in this paper we investigate how the limiting distributions of the Dickey-Fuller and the Augmented Dickey-Fuller statistics are affected if the true time series is I(1) in level but logarithm has been spuriously applied to it.
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