Taking a New Contour: A Novel View on Unit Root Test
AbstractIn this paper we introduce a new view on the distributions of unit root tests. Taking a contour given by the fixed sum of squares instead of the fixed sample size, we show that the null distributions of most commonly used unit root tests such as the ones by Dickey-Fuller (1979, 1981) and Phillips (1987) are normal in large samples. The normal asymptotics along the new contour continue to hold under the local-to-unity alternatives, in which case the tests have normal limit distributions with mean given by the product of the square root of the level of the contour and the locality parameter. Our results are derived for the general unit root models with innovations satisfying the functional central limit theory that is routinely employed to obtain the unit root asymptotics. Moreover, the new asymptotics are shown to be applicable also for the models with deterministic components, as long as they are removed recursively by using only the past information.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Rice University, Department of Economics in its series Working Papers with number 2004-10.
Date of creation: Dec 2004
Date of revision:
Contact details of provider:
Postal: MS-22, 6100 South Main, Houston, TX 77005-1892
Phone: (713) 527-4875
Fax: (713) 285-5278
Web page: http://www.ruf.rice.edu/~econ/papers/index.html
More information through EDIRC
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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.:
- Chang, Yoosoon, 2002.
"Nonlinear IV unit root tests in panels with cross-sectional dependency,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 261-292, October.
- Chang, Yoosoon, 2002. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-08, Rice University, Department of Economics.
- Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo.
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-69, September.
- Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May.
- Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
- So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 65-73, May.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.