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Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing

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  • Nishi, Mikihito
  • 西, 幹仁
  • Kurozumi, Eiji
  • 黒住, 英司

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:hit:econdp:2022-02
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    References listed on IDEAS

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    1. David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2015. "Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble," Journal of Financial Econometrics, Oxford University Press, vol. 13(1), pages 166-187.
    2. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    3. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(4), pages 489-500, December.
    4. Ruey Yau & C. James Hueng, 2007. "Output convergence revisited: new time series results on industrialized countries," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 75-77.
    5. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(3), pages 587-636, June.
    6. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    7. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    8. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
    9. 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.
    10. Anurag Banerjee & Guillaume Chevillon & Marie Kratz, 2020. "Probabilistic forecasting of bubbles and flash crashes," The Econometrics Journal, Royal Economic Society, vol. 23(2), pages 297-315.
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    Cited by:

    1. Mikihito Nishi, 2023. "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers 2301.04853, arXiv.org, revised Jan 2023.

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    More about this item

    Keywords

    random coefficient model; local to unity; moderate deviation; LBI test; power envelope;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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