Decisions on the presence of seasonal unit roots in economic time series are commonly taken on the basis of statistical hypothesis tests. Some of these tests have absence of unit roots as the null hypothesis, while others use unit roots as their null. Following a suggestion by Hylleberg (1995)...

In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series will be partially characterized. Using this characterization, several recently suggested tests are shown to be inadmissable. Since the sufficient statistic for this testing...

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

Tests for stationarity are routinely applied to highly persistent time series. Following Kwiatkowski, Phillips, Schmidt and Shin (1992), standard stationarity tests employ a rescaling by an estimator of the long-run variance of the (potentially) stationary series. This paper analytically...

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotic properties apply under the null...

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...