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Testing the unit root hypothesis using generalized range statistics

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Author Info

  • GIUSEPPE CAVALIERE

Abstract

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to testing procedures that are found to be consistent against I (0 , I (2 as well as against fractional integration and misspecification of the deterministic trend. A Monte Carlo simulation reveals that range-based tests can even outperform standard approaches to nonstationarity tests.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 4 (2001)
Issue (Month): 1 ()
Pages: 39

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Handle: RePEc:ect:emjrnl:v:4:y:2001:i:1:p:39a

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Related research

Keywords: Rescaled range statistics; Unit root tests; Long memory.;

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Cited by:
  1. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series 25_12, The Rimini Centre for Economic Analysis.
  2. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
  3. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 0525, European Central Bank.
  4. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
  5. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
  6. Karim M. Abadir, 2013. "Lies, Damned Lies, and Statistics? Examples From Finance and Economics," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(4), pages 231-248, December.

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