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On the power of the simulation-based ADF test in bounded time series

Margherita Gerolimetto () and Stefano Magrini ()

Economics Bulletin, 2017, vol. 37, issue 1, 539-552

Abstract: Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among which the ADF), valid in case the time series under test is bounded. In this note, we present a Monte Carlo study to investigate, in particular, the power of the simulation-based ADF test against bounded near unit root and bounded fractionally integrated alternative processes. Results show a rather good performance of the simulation-based ADF test, particularly for near unit root alternatives.

Keywords: Bounded time series; Stationarity; Unit root tests; Monte Carlo experiment (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Date: 2017-03-20
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