Journal
JOURNAL OF ECONOMETRICS
Volume 108, Issue 2, Pages 343-363Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-4076(01)00139-7
Keywords
unit roots; cointegration; nonlinear processes
Ask authors/readers for more resources
It is possible to construct unit root tests without specification of the short-run dynamics. These tests are robust against misspecification and structural breaks in the short-run components and can be used to test a wide range of nonlinear models. The variance ratio statistic is similar to the test statistic suggested by Kwiatkowski et al. (J. Econom. 15 (1992) 159) but assumes nonstationarity under the null hypothesis. A straightforward generalization of the variance ratio statistic is suggested, which can be used to test the cointegration rank in the spirit of Johansen (J. Econ. Dyn. Control 12 (1988) 231). Monte Carlo simulations suggest that the tests perform well in linear and nonlinear models with a sufficiently large sample size. (C) 2002 Elsevier Science B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available