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Serial correlation, drift and range unit root testing

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  • Steven Cook

Abstract

The finite-sample properties of recently proposed range unit root tests are examined in the presence of serial correlation and drift. The results obtained show that both tests suffer from severe size distortion when applied to unit root process which either possess serially correlated disturbances or exhibit drift. Consequently, the noted robustness of the tests and the appropriateness of the previously provided critical values are both questioned.

Suggested Citation

  • Steven Cook, 2010. "Serial correlation, drift and range unit root testing," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 939-944.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:10:p:939-944
    DOI: 10.1080/13504850802660367
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    Cited by:

    1. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.

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