Further application of Narayan and Liu (2015) unit root model for trending time series
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- 作者：Afees A. Salisua ; b ; salisuaa@funaab.edu.ng" class="auth_mail" title="E-mail the corresponding author ; aa.salisu@cear.org.ng" class="auth_mail" title="E-mail the corresponding author ; Adegoke I. Adelekec ; aiadeleke@cbn.gov.ng" class="auth_mail" title="E-mail the corresponding author
- 关键词：Trend ; Structural break ; Conditional heteroscedasticity ; Unit root ; Bond yield
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：June 2016
- 年：2016
- 卷：55
- 期：Complete
- 页码：305-314
- 全文大小：1812 K
文摘
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The NL (2015) test for trending series is further subjected to empirical scrutiny.
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Different data frequencies are used on selected bond yield series.
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The nature of data frequency of the series matters for unit root testing.
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The test seems more appropriate when dealing with bond yield data.
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The test outperforms related tests by Cook (2008), NP (2010), and NLW (2015).