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Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Journal of Time Series Analysis [ISSN:] 1467-9892 [Volume:] 42 [Issue:] 1 [Publisher:] John Wiley & Sons, Ltd [Place:] Oxford, UK [Year:] 2021 [Pages:] 85-106
Verlag: 
John Wiley & Sons, Ltd, Oxford, UK
Zusammenfassung: 
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.
Schlagwörter: 
Unit root tests
nonlinear trends
heteroskedasticity
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