Non-linear unit root testing in the presence of heavy-tailed innovation processes
The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes. Simulation results obtained show the test to exhibit a degree of oversizing far in excess of that previously noted for the linear Dickey-Fuller (1979) test.
Volume (Year): 3 (2008)
Issue (Month): 38 ()
|Contact details of provider:|| |
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.:
- Liew, Venus Khim-sen & Baharumshah, Ahmad Zubaidi & Chong, Terence Tai-leung, 2004.
"Are Asian real exchange rates stationary?,"
Elsevier, vol. 83(3), pages 313-316, June.
- Loretan, Mico & Phillips, Peter C. B., 1994.
"Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets,"
Journal of Empirical Finance,
Elsevier, vol. 1(2), pages 211-248, January.
- Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers 9208, Wisconsin Madison - Social Systems.
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-08c20043. 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: (John P. Conley)
If references are entirely missing, you can add them using this form.