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Ferrer-Pérez HCorresponding Author

Publicaciones > Article

The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study

Publicated to:Communications In Statistics-Simulation And Computation. 50 (4): 1042-1052 - 2021-01-01 50(4), doi: 10.1080/03610918.2019.1577967

Ferrer-Pérez H;

Affiliations

La Fundacion Universitaria San Pablo (CEU) - Author

Universidad de Zaragoza - Author

‎ Univ CEU San Pablo, Fac Ciencias Econ & Empresariales, C Julian Romea 23, Madrid 28003, Spain - Author

‎ Univ Zaragoza, Fac Econ & Empresa, Zaragoza, Spain - Author

Abstract

Keywords: Efficient tests; Initial condition; Lag length; Monte carlo simulations; Recursive mean adjustment; Sensitivity; Time-series; Trend; Uncertainty; Unit root

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Best Categ.	Statistics & Probability				Modeling and Simulation
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IF	1.162	0.419	-			-			11.000
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