In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of...

The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...

This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of...

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF)...

The article "The Time Series Properties of the Real Exchange Rates Between the Member States of the European Monetary Union" analyses the time series behavior of the components of the real exchange rates between the founding member states of the EMU before and after the start of the EMU. Various...

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...