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Serial correlation, drift and range unit root testing


  • Steven Cook


The finite-sample properties of recently proposed range unit root tests are examined in the presence of serial correlation and drift. The results obtained show that both tests suffer from severe size distortion when applied to unit root process which either possess serially correlated disturbances or exhibit drift. Consequently, the noted robustness of the tests and the appropriateness of the previously provided critical values are both questioned.

Suggested Citation

  • Steven Cook, 2010. "Serial correlation, drift and range unit root testing," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 939-944.
  • Handle: RePEc:taf:apeclt:v:17:y:2010:i:10:p:939-944 DOI: 10.1080/13504850802660367

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    References listed on IDEAS

    1. Bennett T. McCallum, 2000. "Alternative monetary policy rules : a comparison with historical settings for the United States, the United Kingdom, and Japan," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 49-79.
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    7. Rudebusch, Glenn D., 2002. "Term structure evidence on interest rate smoothing and monetary policy inertia," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1161-1187, September.
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