In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under null hypothesis of random walk with drift. The method implemented in considerably more precise than corresponding case conventional augmented Dickey–Fuller test, can be inaccurate when true value drift term small relative standard deviation innovations. also has an opt...

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain wh...

We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di®erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...

Acknowledgments I acknowledge useful conversations with Serena Ng, James Stock, and Vince Wiggins. The KPSS code was adapted from John Barkoulas’ RATS code for that test. Thanks also to Richard Sperling for tracking down a discrepancy between published work and the dfgls output and alerting me to the Cheung and Lai estimates. Any remaining errors are my own. References Cheung, Y. W. and K.-S. L...

A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...

We consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at an unknown point in the series. We propose a new break fraction estimator which, where a break in trend occurs, is consistent for the true break fraction at rate Op(T). Unlike other available estimators, however, when there is no trend break our estimator converg...

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In this paper we propose a generalised autoregressive conditional heteroskedasticity (GARCH) model-based test for a unit root. The model allows for two endogenous structural breaks. We test for unit roots in 156 US stocks listed on the NYSE over the period 1980 to 2007. We find that the unit root null hypothesis is rejected in 40% of the stocks, and only in four out of the nine sectors the null...

Abstract: This paper adopts a different approach to the study of the persistence of U.S. GNP. First, this paper uses a more powerful version of the ADF test developed by Elliot, Rothenberg and Stock (1992). Second, we also examine the results from a unit root test that has trend stationarity as the null (Kwiatkowski et al., 1992). Third, simulated critical values generated from plausible trend ...

Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they doubleor triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. F tests are used as...