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...

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...

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,...

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...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution...

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...