Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity

Daiki Maki

Applied Financial Economics, 2006, vol. 16, issue 8, 607-615

Abstract: This study proposes a unit root test for a time series having a mean shift at an unknown point. The proposed test using a variance ratio as a test statistic can be used to test a wide range of linear and nonlinear processes characterized by a mean shift. Monte Carlo simulations indicate that our tests are more powerful than Dickey-Fuller type tests in regard to linear and nonlinear processes. When the test is applied to the Japanese real exchange rate, the empirical results show strong evidence that the Japanese real exchange rate has a stationary process around a mean shift.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100600597934 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:16:y:2006:i:8:p:607-615

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100600597934

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().