We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...

The paper studies the asymptotic efficiency and robustness of hypothesis tests when models of interest are defined in terms of a weak convergence property. The null and local alternatives induce different limiting distributions for a random element, and a test is considered robust if it controls...

This paper derives asymptotic power envelopes for tests of the unit root hypothesis in a zero-mean AR(1) model. The power envelopes are derived using the limits of experiments approach and are semiparametric in the sense that the underlying error distribution is treated as an unknown...

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum...

In this paper, we propose a novel entropy-based resampling scheme valid for non-stationary data. In particular, we identify the reason for the failure of the original entropy-based algorithm of Vinod and Lopez-de Lacalle (2009) to be the perfect rank correlation between the actual and...

A unit root test is proposed for time series with a nonparametric trend component using a pooled regression of overlapping blocks. The class of trend functions considered includes any boundedly differentiable trend function with finitely many breaks. Limiting null-distributions of the pseudo...

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations,...

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...

In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...

We suggest a Gini-based statistical test for unit root. This test is based on the well-known Dickey-Fuller test, where the ordinary least squares (OLS) regression is replaced by the semi-parametric Gini regression in modeling the AR process. A residual-based bootstrap is used for finding...