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A Test For Stationarity Versus Trends And Unit Roots For A Wide Class Of Dependent Errors

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  • Giraitis, Liudas
  • Leipus, Remigijus
  • Philippe, Anne

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 in time (e.g., nonparametric, 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.The authors thank the editor, the referees, and Karim Abadir for helpful comments and Alfredas Ra kauskas for drawing our attention to the criterion of Cremers and Kadelka (1986). The first author s work was supported by the ESRC grants R000238212 and R000239538. The last two authors were supported by a cooperation agreement CNRS LITHUANIA (4714) and by a bilateral Lithuania-France research project Gilibert.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 22 (2006)
Issue (Month): 06 (December)
Pages: 989-1029

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Handle: RePEc:cup:etheor:v:22:y:2006:i:06:p:989-1029_06

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Cited by:
  1. Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2010. "A two-sample test for comparison of long memory parameters," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2118-2136, October.
  2. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
  3. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
  4. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  5. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  6. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.

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