Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Joakim Westerlund

Journal of Asian Economics, 2013, vol. 28, issue C, 12-27

Abstract: This paper proposes a new unit root test that is general enough to accommodate a potentially non-linear deterministic trend function, making it one of the most general tests around. However, the main advantage lies with its simple implementation. In particular, the asymptotic critical values are shown to be “almost” independent of the deterministic trend function, and as a result the test can be implemented without the need for model-specific critical values. The new test is applied to a sample consisting of monthly prices of four precious metals for a number of Asian countries.

Keywords: Unit root test; Deterministic trend; Recursive detrending (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:28:y:2013:i:c:p:12-27

DOI: 10.1016/j.asieco.2013.04.004

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