Ching-Chuan, Tsong - In: Studies in Nonlinear Dynamics & Econometrics 16 (2012) 5, pp. 1-27
This paper generalizes the univariate unit root test proposed by Sollis (2009) by adding correlated covariates for a power boost. The asymptotic distribution of the proposed test is derived, and the asymptotic critical values are tabulated. Simulation experiments are conducted to demonstrate...