GLS-based unit root tests for bounded processes

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 120
Issue: 2
Pages: 184-187

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded processes.

Technical Details

RePEc Handle
repec:eee:ecolet:v:120:y:2013:i:2:p:184-187
Journal Field
General
Author Count
2
Added to Database
2026-01-25