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A Generalization Of The Burridge–Guerre Nonparametric Unit Root Test

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  • García, Ana
  • Sansó, Andreu

Abstract

In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705–723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful comments from an anonymous referee. We gratefully acknowledge the financial support of the Ministerio de Ciencia y Tecnología and the Conselleria d'Economia, Hisenda i Innovació, grants BEC2002-03769 and PRIB-2004-10095, respectively.

Suggested Citation

  • García, Ana & Sansó, Andreu, 2006. "A Generalization Of The Burridge–Guerre Nonparametric Unit Root Test," Econometric Theory, Cambridge University Press, vol. 22(4), pages 756-761, August.
    • Handle: RePEc:cup:etheor:v:22:y:2006:i:04:p:756-761_06
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    Cited by:

    1. Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
    2. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.

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