ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE

Samuel B. Thompson

Econometric Theory, 2004, vol. 20, issue 02, pages 360-381

Abstract: The rank-based unit root tests proposed by Hasan and Koenker (1997, Econometrica 65, 133 161) have power equal to size for normal innovations. Unit root tests based on M-estimators exhibit the same behavior. The problem occurs because the test statistics are transformed to obtain computationally convenient critical values. I describe a convenient way to compute critical values without transforming the test statistics. The resulting tests are almost as powerful as least squares based tests for normal errors and much more powerful for thicker tailed distributions.

Date: 2004

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466604202055 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:20:y:2004:i:02:p:360-381_20

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().