The size performance of a nonparametric unit root test under a variance shift

DOI10.1016/J.SPL.2007.09.039MaRDI QIDQ2483450zbMATH OpenOpenAlexFDO

Authors Daiki Maki

Publication date 28 April 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.09.039

zbMATH Keywords

size distortion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Testing for a unit root in the presence of a variance shift
• A nonparametric unit root test under nonstationary volatility
• Nonparametric unit root test and structural breaks
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Size and power properties of powerful unit root tests in the presence of variance breaks

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Nonparametric tests for unit roots and cointegration.
• Testing for a unit root in the presence of a variance shift
• Testing stationarity under a permanent variance shift
• 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?
• Unit root tests with a break in innovation variance.

Cited in

(5)

• Behavior of the Size in the Unit Root Testing Under Contamination
• Wild bootstrap tests for unit root in ESTAR models
• Moving ratio test for multiple changes in persistence
• On the performance of the variance ratio unit root tests with flexible Fourier form
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications

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