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A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

Morten Nielsen ()

Econometric Theory, 2009, vol. 25, issue 06, 1515-1544

Abstract: This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d , and containing the Breitung (2002, Journal of Econometrics 108, 342–363) test as the special case d = 1. It is shown that (a) each member of the family with d > 0 is consistent, (b) the asymptotic distribution depends on d and thus reflects the parameter chosen to implement the test, and (c) because the asymptotic distribution depends on d and the test remains consistent for all d > 0, it is possible to analyze the power of the test for different values of d . The usual Phillips–Perron and Dickey–Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties.

Date: 2009
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Working Paper: A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic (2008) Downloads
Working Paper: A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic (2008) Downloads
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