A simple unit root test consistent against any stationary alternative

Frédérique Bec and Alain Guay

Working Papers from HAL

Abstract: This paper proposes t−like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very simple nonlinear stationary alternative specification and the particular choice of the thresholds set, the proposed unit root test contains the standard ADF test as a special case. This, in turn, yields a sufficient condition for consistency against any ergodic stationary alternative. From a Monte-Carlo study, it turns out that the power of our unbounded non adaptive tests, in their average and exponential versions, outperforms existing bounded tests, either adaptive or not. This is illustrated by an application to interest rate spread data.

Keywords: Unit root test; Threshold autoregressive model; Interest rate spread (search for similar items in EconPapers)
Date: 2020-11-17
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03010256
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://shs.hal.science/halshs-03010256/document (application/pdf)

Related works:
Working Paper: A simple unit root test consistent against any stationary alternative (2020)
Working Paper: A simple unit root test consistent against any stationary alternative (2020)
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:hal:wpaper:halshs-03010256

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().