This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new framework, linear, quadratic and cubic components of are used to capture nonlinearity in given time series data. The theoretical properties developed, while size power examined Monte Carlo simulation study. Various empirical applications with inflati...

In this paper we introduce a new unit test technique called déjà-vu object. Déjà-vu objects replace real objects used by classes under test, allowing the execution of isolated unit tests. A déjà-vu object is able to observe and record the behaviour of a real object during real sessions, and to replace it during unit tests, returning previously recorded results. Consequently déjà-vu object techn...

We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn ! 1 and Cn/n ! 0 as n ! 1. Strong consistency holds when Cn/...

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussi...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors...