IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v19y2012i4p373-377.html
   My bibliography  Save this article

Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series

Author

Listed:
  • Jen-Je Su
  • Eduardo Roca

Abstract

Many studies have examined the power of Stochastic Unit Root (STUR) tests. However, these studies assume that the two error processes of the underlying time series are independent. In this study, we undertake a Monte Carlo study on the power of STUR tests without the condition of independence among the error processes. The results show that the correlation between the two error processes may profoundly impact the power of STUR tests. Given the extensive use of STUR tests as both a diagnostic tool and a tool of analysis in economics and finance, this result therefore has very important implications for both theory and practice.

Suggested Citation

  • Jen-Je Su & Eduardo Roca, 2012. "Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 373-377, March.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:4:p:373-377
    DOI: 10.1080/13504851.2011.579055
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2011.579055
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/13504851.2011.579055?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nishi, Mikihito & 西, 幹仁 & Kurozumi, Eiji & 黒住, 英司, 2022. "Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing," Discussion Papers 2022-02, Graduate School of Economics, Hitotsubashi University.
    2. Mikihito Nishi, 2023. "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers 2301.04853, arXiv.org, revised Jan 2023.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:19:y:2012:i:4:p:373-377. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.