Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis

Muhammad Irfan Malik; - Atiq-ur-Rehman

doi:https://doi.org/10.33818/ier.278040

Makale detayları

Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis

Yazarlar:

Muhammad Irfan Malik | - Atiq-ur-Rehman

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2015 Vol.7 Issue 2, pp.51-63

Belge Tipi:

Makale

Yayın Tarihi:

8/2015

Belge Dili:

Türkçe

Document ID (Org No.):

2000717672

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278040

Özet:

 

Ng and Perron (2001) designed a unit root test, which incorporates the properties of DF-GLS and Phillips Perron test. Ng and Perron claim that the test performs exceptionally well   especially in the presence of a negative moving average. However, the performance of the test depends heavily on the choice of the spectral density estimators used in the construction   of the test. Various estimators for spectral density exist in the literature; each have a crucial impact on the output of test, however there is no clarity on which of these estimators   gives the optimal size and power properties. This study aims to evaluate the performance of the Ng-Perron for different choices of spectral density estimators in the presence of a    negative and positive moving average using Monte Carlo simulations. The results for large samples show that: (a) in the presence of a positive moving average, testing with the kernel     based estimator gives good effective power and no size distortion, and (b) in the presence of a negative moving average, the autoregressive estimator gives better effective power,      however, huge size distortion is observed in several specifications of the data-generating process.

Makale detayları

Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis

Yazarlar: Muhammad Irfan Malik | - Atiq-ur-Rehman

Yayıncı: Econometric Research Association

Ana Başlıklar: Sosyoloji & antropoloji | Yönetim

Dergi: International Econometric Review 2015 Vol.7 Issue 2, pp.51-63

Belge Tipi: Makale

Yayın Tarihi: 8/2015

Belge Dili: Türkçe

Document ID (Org No.): 2000717672

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

DOI: https://doi.org/10.33818/ier.278040

Sayı

Yazarlar:

Muhammad Irfan Malik | - Atiq-ur-Rehman

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2015 Vol.7 Issue 2, pp.51-63

Belge Tipi:

Makale

Yayın Tarihi:

8/2015

Belge Dili:

Türkçe

Document ID (Org No.):

2000717672

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278040