The test for stationarity versus trends and unit roots for a wide class of dependent errors

Liudas Giraitis (), R Leipus and A Phillipe

Discussion Papers from Department of Economics, University of York

Abstract: We suggest a rescaled variance type of test for the null hypothesis of stationarity against deterministic and stochastic trends (unit roots). The deterministic trend can be represented as a general function of time (e.g. non-parametric, linear or polynomial regression, abrupt changes in the mean). Under the null, the asymptotic distribution of the test is derived and critical values are tabulated for a wide class of stationary processes with short, long or negative dependence structure. A simulation study examines the performance of the test in terms of size and power. The empirical performance of the test is illustrated using the S&P 500 data.

References: Add references at CitEc
Citations: View citations in EconPapers (11)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS (2006)
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:yor:yorken:05/22

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().