Sign tests for unit root and change in persistence
Marilena Furno ()
International Journal of Computational Economics and Econometrics, 2014, vol. 4, issue 3/4, 269-287
The behaviour of unit root tests defined in terms of sign transform is here analysed. The sign transform allows us to gain robustness to non-normality. Contrarily to the standard unit root tests, our results show that these tests are very reliable in the presence of breaks, provided there is no change in the persistence of a series. In case of change in persistence, the paper proposes to compare sign-based test functions separately computed before and after the change point. A statistically significant difference would signal the presence of change in persistence. An example and a Monte Carlo study conclude the analysis.
Keywords: stationarity; unit root tests; robust procedure; L 1 -norm; change in persistence; sign transform; Monte Carlo simulation. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:4:y:2014:i:3/4:p:269-287
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