Initial conditions and stationarity tests

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 105
Issue: 3
Pages: 296-299

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

It is showed that the magnitude of the initial condition of a highly persistent process affects the properties of stationarity tests applied to the first differences, with a "relatively large" initial condition implying non-negligible oversizing. An empirical illustration is provided.

Technical Details

RePEc Handle
repec:eee:ecolet:v:105:y:2009:i:3:p:296-299
Journal Field
General
Author Count
1
Added to Database
2026-01-25