In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

This article is concerned with detecting additive outliers using extreme value methods. The test recently proposed for use with possibly non-stationary time series by Perron and Rodriguez [Journal of Time Series Analysis (2003) vol. 24, pp. 193-220], is, as they point out, extremely sensitive to...

We investigate the behaviour of rolling and recursive augmented Dickey-Fuller (ADF) tests against processes which display changes in persistence. We show that the power of the tests depend crucially on the window width and warm up parameter for the rolling and recursive procedures respectively,...

In practice a degree of uncertainty will always exist concerning what specification to adopt for the deterministic trend function when running unit root tests. While most macroeconomic time series appear to display an underlying trend, it is often far from clear whether this component is best...

In this paper we investigate the impact of non-stationary cycles on the asymptotic and finite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the...