This paper introduces a parametric specification test for dissusion processes which is based on a bootstrap procedure that accounts for data dependence and parameter estimation error. The proposed bootstrap procedure additionally leads to straightforward generalizations of the conditional...

Standard unit root and stationarity tests (see e.g. Dickey and Fuller (1979)) assume linearity under both the null and the alternative hypothesis. Violation of this linearity assumption can result in severe size and power distortion, both in finite and large samples. Thus, it is reasonable to...