In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...

In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run...

In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run...

Augmented Dickey-Fuller unit root tests may severely overreject when the DGP is a general linear process. The use of the AR sieve bootstrap, proposed by Park (2002) and Chang and Park (2003), may alleviate this problem. We propose sieve bootstraps based on MA and ARMA approximations. Invariance...

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de?ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative...

This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1-1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis...

This paper proposes a new testing strategy for unemployment hysteresis as the joint restriction of a unit-root in the unemployment rate and no feedback effect of unemployment in the Phillips wage equation. The associated test statistics are derived when this joint restriction is imposed and when...

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of...