This paper proposes an adjusted-range based self-normalized tests for changes in correlation coefficient and correlation matrix. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of a partial sum process as the self-normalizer, here we...

This note suggests a simple modification to the Kwiatkowski et al. (1994, KPSS) test so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the...

This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high order sample autocovariances and by construction eliminates the effects of nuisance parameters typically induced by...

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe and Leybourne (2002). This nonlinear setup allows for volatility in excess of that catered for by the standard integration/cointegration paradigm...

We investigate the purchasing power parity hypothesis for a group of 17 countries using a new panel based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate, and...