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- W2071286913 abstract "Time series models are a common tool in both environmetrics and econometrics. Dynamic effects are accommodated by the inclusion of lagged variables. Tests of null hypotheses involving 'long-run' effects are not invariant and, surprisingly, the most commonly used form involves a non-linear hypothesis when an equivalent linear form is available. As examples we study a simple hydrological model of river flow, a simple electricity demand model and a number of artificially constructed data sets designed to illustrate the issues in a Monte Carlo context. We conclude that the differences due to test form may be large and (a) when it makes a difference, the linear form is to be preferred in terms of accuracy of test size; (b) even with the linear form, with trended data the size distortion may be so large that it may be necessary to simulate critical values for each problem; and (c) if the persistence in the dependent variable is large, test power can be very low." @default.
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- W2071286913 date "1998-01-01" @default.
- W2071286913 modified "2023-09-23" @default.
- W2071286913 title "Testing the long-run response in time series environmetric and econometric models" @default.
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- W2071286913 doi "https://doi.org/10.1002/(sici)1099-095x(199801/02)9:1<101::aid-env288>3.0.co;2-l" @default.
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