A specific form of deterministic exponential heteroskedasticity is examined. A non-trivial unit root process which has exponentially heteroskedastic innovation and as a consequence, a variance that vanishes asymptotically is detailed. Such a unit root stochastic process, with exponential...

This paper examines whether the usually tested unit autoregressive (AR) root null hypothesis can be informative about the presence of a unit AR root (integration). This is considered null in generic models when the underlying time series is mean or linear trend stationary. It is concluded that...

This letter examines the first difference of the logarithm of real per capita GNP of the USA (approximately growth rate) to see whether it possesses a moving average unit root (overdifferencing). The presence of such a moving average unit root implies that the logarithm of real per capita GNP of...

A modification of the existing point optimal unit root test is proposed. The new test has very good finite sample power and is easily correctable via semi-parametric methods. Critical values are provided along with power simulation and empirical examples.

In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

Via simulation, the size of the lagrange multiplier (LM) unit root test is examined, when there is a neglected level or trend break under the null hypothesis. It is found that unlike other more popular unit root tests in the literature, the size of the LM is not distorted/inflated. Thus,...

The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more...

Using Monte Carlo simulation, the size of the DF-GLS test is examined when there is a neglected level or trend break under the null hypothesis. Unlike the original DF test, the DF-GLS test has size which is not distorted/inflated.

This article proposes a modified version of the Langrange Multiplier (LM) test for a unit root, which is efficient and avoids arbitrary estimation of the levels regression intercept. If required, this intercept can be estimated indirectly in the second-step autoregression. In addition to...

This article proposes a modified version of the LM unit root test, which is efficient and independent from the levels regression intercept, under both null and alternative hypotheses. Simulated critical values are provided.