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Non-linear unit root testing in the presence of heavy-tailed innovation processes

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Author Info
Steve Cook () (Swansea University)
Abstract

The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes. Simulation results obtained show the test to exhibit a degree of oversizing far in excess of that previously noted for the linear Dickey-Fuller (1979) test.

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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-08C20043A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 38 ()
Pages: 1-10
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Handle: RePEc:ebl:ecbull:v:3:y:2008:i:38:p:1-10

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Related research
Keywords: Unit root; non-linear; heavy-tailed distributions;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December. [Downloadable!] (restricted)
  2. Liew, Venus Khim-sen & Baharumshah, Ahmad Zubaidi & Chong, Terence Tai-leung, 2004. "Are Asian real exchange rates stationary?," Economics Letters, Elsevier, vol. 83(3), pages 313-316, June. [Downloadable!] (restricted)
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  3. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February. [Downloadable!] (restricted)
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