In a recent article, Xiao and Lima (2007) show numerically that the stationarity test of Kwiatkowski et al. (1992) has power close to size when the volatility of the innovation process follows a linear trend. In this article, highlighting published results in Cavaliere and Taylor (2005), we show...

The aim of the paper is to assess to what extent European Monetary System (EMS) target zone exchange rates have been characterized by mean reverting behaviour. To this purpose, a new class of mean reversion tests is introduced. With respect to standard approaches, the proposed tests - which are...

In the framework of integrated processes, the problem of testing the presence of unknown boundaries which constrain the sample path to lie within a closed interval is considered. To discuss this inferential problem, the concept of nearly-bounded integrated process is introduced, thus allowing to...

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...