Serial correlation, drift and range unit root testing

Steven Cook

Applied Economics Letters, 2010, vol. 17, issue 10, 939-944

Abstract: The finite-sample properties of recently proposed range unit root tests are examined in the presence of serial correlation and drift. The results obtained show that both tests suffer from severe size distortion when applied to unit root process which either possess serially correlated disturbances or exhibit drift. Consequently, the noted robustness of the tests and the appropriateness of the previously provided critical values are both questioned.

Date: 2010
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DOI: 10.1080/13504850802660367

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