Covariate unit root tests with good size and power

A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks

T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power

It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We consider a class of Modified Information Criteria (MIC) with a penalty factor that is sample dependent. ...

A Simes-type Panel Unit Root Test

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...

Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems

------------------------------------------------------------------------------------------------------------------Abstract: This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do not require a choi...