Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing.
The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between linear and log--linear unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its e...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2008
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