Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230221
Authors: 
Otto, Sven
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Time Series Analysis [ISSN:] 1467-9892 [Volume:] [Issue:] [Pages:] n/a-n/a
Abstract: 
A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some Lipschitz condition. Under both fixed‐b and small‐b block asymptotics, the limiting distribution of the t‐statistic for the unit root hypothesis is derived. Nuisance parameter corrections provide heteroskedasticity‐robust tests, and serial correlation is accounted for by pre‐whitening. A Monte Carlo study that considers slowly varying trends yields both good size and improved power results for the proposed tests when compared to conventional unit root tests.
Subjects: 
Unit root tests
nonlinear trends
heteroskedasticity
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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