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Pré-Publication, Document De Travail Année : 2010

Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?

Résumé

This article compares the performances of some non-stationarity tests on simulated series, using the business-cycle model of Chang et al. (2007) [Y. Chang, T. Doh, F. Schorfheide, (2007). Non-stationary Hours in a DSGE Model. Journal of Money, Credit and Banking 39, 357-1373] as data generating process. Overall, Monte Carlo simulations show that the efficient unit root tests of Ng and Perron (2001) [Ng, S., Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554] are more powerful than the standard non-stationarity tests (ADF and KPSS). More precisely, these efficient tests are able to reject frequently the unit-root hypothesis on simulated series using the best specification of business-cycle model found by Chang et al. (2007), in which hours worked are stationary with adjustment costs.
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Dates et versions

hal-00527122 , version 1 (18-10-2010)

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  • HAL Id : hal-00527122 , version 1

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Amélie Charles, Olivier Darné, Fabien Tripier. Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?. 2010. ⟨hal-00527122⟩
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