A GENERALIZATION OF THE BURRIDGE GUERRE NONPARAMETRIC UNIT ROOT TEST

Ana Garc a and Andreu Sans

Econometric Theory, 2006, vol. 22, issue 04, pages 756-761

Abstract: In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705 723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful comments from an anonymous referee. We gratefully acknowledge the financial support of the Ministerio de Ciencia y Tecnolog a and the Conselleria d Economia, Hisenda i Innovaci , grants BEC2002-03769 and PRIB-2004-10095, respectively.

Date: 2006

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