Non-linear unit root testing in the presence of heavy-tailed innovation processes

Steve Cook ()
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Steve Cook: Swansea University

Economics Bulletin, 2008, vol. 3, issue 38, 1-10

Abstract: The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes. Simulation results obtained show the test to exhibit a degree of oversizing far in excess of that previously noted for the linear Dickey-Fuller (1979) test.

Keywords: heavy-tailed; distributions (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008-07-26
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Citations: View citations in EconPapers (1)

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