A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, <italic>d</italic>, and containing the Breitung (2002, <italic>Journal of Econometrics</italic> 108, 342–363) test as the special case <italic>d</italic> = 1. It is shown that (a) each member of the family with <italic>d</italic> > 0 is consistent, (b) the asymptotic distribution depends on <italic>d</italic> and thus reflects the parameter chosen to implement the test, and (c) because the asymptotic distribution depends on <italic>d</italic> and the test remains consistent for all <italic>d</italic> > 0, it is possible to analyze the power of the test for different values of <italic>d</italic>. The usual Phillips–Perron and Dickey–Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties.
Year of publication: |
2009
|
---|---|
Authors: | Nielsen, Morten Ørregaard |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 06, p. 1515-1544
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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