Rejection Probabilities for a Battery of Unit-Root Tests

dc.contributor.author	Maican, Florin G.
dc.contributor.author	Sweeney, Richard J.
dc.contributor.organization	Dept of Economics, University of Gothenburg	sv
dc.date.accessioned	2013-06-03T12:41:15Z
dc.date.available	2013-06-03T12:41:15Z
dc.date.issued	2013-05
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.identifier.issn	1403-2465
dc.identifier.uri	http://hdl.handle.net/2077/32930
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

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