GLS-detrending and regime-wise stationarity testing in small samples

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 104
Issue: 2
Pages: 99-101

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The proposed version of the DF-GLS test incorporates up to two breaks in the intercept. While the asymptotic properties of the DF-GLS test remain valid, the changes in the intercept have an impact on the small sample properties of the test.

Technical Details

RePEc Handle
repec:eee:ecolet:v:104:y:2009:i:2:p:99-101
Journal Field
General
Author Count
1
Added to Database
2026-01-25