Two new stationarity tests are proposed. Both tests can be viewed as generalizations of existing stationarity tests and dominate these in terms of local asymptotic power. Improvements are achieved by accommodating stationary covariates. A Monte Carlo investigation of the small sample properties of the tests is conducted, and an empirical illustration from international finance is provided.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 20 (2004) Issue (Month): 01 (February) Pages: 56-94 Download reference. The following formats are available: HTML
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