A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d , and containing the Breitung (2002, Journal of Econometrics 108, 342–363) test as the special case d = 1. It is shown that (a) each member of the family with d > 0 is consistent, (b) the asymptotic distribution depends on d and thus reflects the parameter chosen to implement the test, and (c) because the asymptotic distribution depends on d and the test remains consistent for all d > 0, it is possible to analyze the power of the test for different values of d . The usual Phillips–Perron and Dickey–Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties.
Volume (Year): 25 (2009)
Issue (Month): 06 (December)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
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.:
- 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.
- Peter C. B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-470, December.
- 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.
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Breitung, Jorg & Taylor, A. M. Robert, 2003. "Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]," Journal of Econometrics, Elsevier, vol. 117(2), pages 401-404, December.
- Stephen J. Leybourne & Paul Newbold, 1999. "The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 92-106.
- Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
- Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, 07.
- Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- Nielsen, Morten, 2008.
"A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis,"
08-05, Cornell University, Center for Analytic Economics.
- Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics.
- Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
- Javier Hualde, 2005.
Faculty Working Papers
06/05, School of Economics and Business Administration, University of Navarra.
- Shin, Yongcheol & Schmidt, Peter, 1992. "The KPSS stationarity test as a unit root test," Economics Letters, Elsevier, vol. 38(4), pages 387-392, April.
- Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
- Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
- Vogelsang, Timothy J, 1998. "Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 73-80, January.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- de Jong, Robert M. & Davidson, James, 2000.
"The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I,"
Cambridge University Press, vol. 16(05), pages 621-642, October.
- Davidson, James & de Jong, Robert M., 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals Ii," Econometric Theory, Cambridge University Press, vol. 16(05), pages 643-666, October.
- Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Agiakloglou, Christos & Newbold, Paul, 1996. "The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag," Economics Letters, Elsevier, vol. 52(3), pages 229-234, September.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:25:y:2009:i:06:p:1515-1544_99. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.