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Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators

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  • Shin, Dong Wan
  • Kim, Hyun Jung
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    Abstract

    The authors develop new semiparametric tests for double unit roots under a weakly dependent error structure of Phillips for tests for a unit root. The tests are based on symmetric estimation of Sen and Dickey. Through Monte Carlo simulations, the new tests are compared with the tests of Haldrup and of Dickey and Pantula. Their tests have empirical sizes close to the nominal size even when the innovations follow a negatively autocorrelated moving average, for which the semiparametric tests of Haldrup are oversized. Moreover, the authors' tests have better power than the other two tests against I(1), explosive, and stationary alternatives. The tests are applied to the yearly Korean wholesale price and consumer price indexes. Some I(2) structure is evident for the indexes.

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 17 (1999)
    Issue (Month): 1 (January)
    Pages: 67-73

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    Handle: RePEc:bes:jnlbes:v:17:y:1999:i:1:p:67-73

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    Cited by:
    1. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
    2. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179.
    3. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.
    5. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus.

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