This paper provides a new unit root test based on an alternative parameterization which has previously been considered by Bhargava (1986). This parameterization allows for trend under both the null and the alternative, without introducing any parameters that are irrelevant under either. This is...

The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null...

In this article, we develop a model of the length of time until recidivism, and estimate it on a sample of releasees from the North Carolina prison system. Evidence of the model's predictive accuracy is presented. The model is then used to evaluate a correctional program by comparing the actual...

In this article, we consider the robustness to fat tails of four stationarity tests. We also consider their sensitivity to the number of lags used in long-run variance estimation, and the power of the tests. Lo's modified rescaled range (MR/S) test is not very robust. Choi's Lagrange multiplier...

The KPSS unit root test with lags is asymptotically valid and the fixed-b asymptotic distribution predicts its critical values well. A small positive number of lags improves the size of the test, without much loss in power.

This paper extends previous results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator.