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Analisis del sesgo producido en los contrastes univariantes de phillips-ouliaris-joyeux por la utilizacion de ventanas espectrales

Author

Listed:
  • Andreu Sanso
  • Ernest Pons Fanals
  • Manuel Artis Ortuno
  • Jordi Surinach Caralt

    (Universitat de Barcelona)

Abstract

This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure introduces a bias in the estimation. In this paper, we show that for usually sample sizes used in Econometrics, this bias is sufficiently important to invalidate the use of such non-parametric tests. We report support to this conclusion both analytically and using Monte Carlo experiments.

Suggested Citation

  • Andreu Sanso & Ernest Pons Fanals & Manuel Artis Ortuno & Jordi Surinach Caralt, 1997. "Analisis del sesgo producido en los contrastes univariantes de phillips-ouliaris-joyeux por la utilizacion de ventanas espectrales," Working Papers in Economics 16, Universitat de Barcelona. Espai de Recerca en Economia.
    • Handle: RePEc:bar:bedcje:199716
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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