We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

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,...

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...

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...

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two rather than of order one. It turns out that standard augmented Dickey-Fuller type of tests for a single unit root have excessive density in the explosive region of the...

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck...

A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates unit root integrated pseudo time series retaining the...