| dc.contributor.author | Maican, Florin G. | |
| dc.contributor.author | Sweeney, Richard J. | |
| dc.date.accessioned | 2013-06-03T12:41:15Z | |
| dc.date.available | 2013-06-03T12:41:15Z | |
| dc.date.issued | 2013-05 | |
| dc.identifier.issn | 1403-2465 | |
| dc.identifier.uri | http://hdl.handle.net/2077/32930 | |
| dc.description | JEL Classification: C15; C22; C32; C33; E31; F31. | sv |
| dc.description.abstract | If the researcher tests each model in a battery at the a % significance level, the probability that at least one test rejects is generally larger than a %. For five unit-root models, this paper uses Monte Carlo simulation and the inclusion-exclusion principle to show for a %=5% for each test,
the probability that at least one test rejects is 16.2% rather than the upper-bound of 25% from the Bonferroni inequality. It also gives estimated probabilities that any combination two, three, four or five models all reject. | sv |
| dc.format.extent | 13 pages | sv |
| dc.language.iso | eng | sv |
| dc.relation.ispartofseries | Working Papers in Economics | sv |
| dc.relation.ispartofseries | 568 | sv |
| dc.subject | real exchange rates | sv |
| dc.subject | unit root | sv |
| dc.subject | Monte Carlo | sv |
| dc.subject | break models | sv |
| dc.title | Rejection Probabilities for a Battery of Unit-Root Tests | sv |
| dc.type | Text | sv |
| dc.type.svep | report | sv |
| dc.contributor.organization | Dept of Economics, University of Gothenburg | sv |
