This article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside interval. These are investigated separately in literature shown to cause problems, size distortions. In this article, we consider presence of both tests simultaneously. The simulation results indicate that ...

In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is ...rst approximated by a ...nite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resul...

The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit root tests reject PPP and the highest half-lives are observed after the introduction of the single curre...