The relationship between the initial condition of time series data and the power of the Dickey-Fuller (1979) test and a number of modified Dickey-Fuller tests is examined. The results obtained extend the asymptotic analysis of Muller and Elliott (2003) by both focussing upon finite-sample power...

The power properties of the rank-based Dickey-Fuller (DF) unit root test of Granger and Hallman [C. Granger and J. Hallman, Nonlinear transformations of integrated time series, J. Time Ser. Anal. 12 (1991), pp. 207-218] and the range unit root tests of Aparicio et al. [F. Aparicio, A. Escribano,...

The philosophy of science literature has played an increasing role in discussion of econometric methodology in recent years, and the Hendry methodology in particular has received much attention. Despite this, the encompassing principle has been overlooked in the methodological literature. This...

The now familiar error correction model has recently been extended to allow for the modelling of asymmetric behaviour, resulting in the development of the asymmetric error correction model. Previous workers have undertaken studies upon which the 'classic', implicitly symmetric, error correction...

The asymmetric unit root tests of Enders and Granger (Journal of Business and Economic Statistics, 16, 304-11, 1998) are examined using consistent threshold estimation and the original two-step procedure. In contrast to earlier studies, the ability of the tests to jointly reject the unit root...

Economic data are regularly revised, leading to a number of alternative vintages being available fo a given data series over a particular time period. This paper confronts this problem, building on the model validity and data accuracy tests of Hendry (1994) to develop the concept of model and...

In recent research [B. Seo, Distribution theory for unit root tests with conditional heteroskedasticity, J. Econometrics 91 (1999) 113–144] has suggested that the examination of the unit root hypothesis in series exhibiting GARCH behaviour should proceed via joint maximum likelihood (ML)...

A new approach is developed to examine potential causality between merger activity and industrial production. The proposed method combines an information criterion-based approach to lag optimisation with joint maximum likelihood estimation of an autoregressive distributed lag model and...

The notion of a ripple effect in the UK housing market implies stationarity in regional:national house price ratios. In this paper a new means of examining this issue is proposed which involves the joint application of a powerful unit root test and a test of stationarity. In contrast to the...

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two...