Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244476 
Year of Publication: 
2012
Series/Report no.: 
Working Paper No. 2/2012
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS-modified critical values either have the same power as, or slightly better than, tests using conventional Dickey–Fuller critical values across the sample range considered.
Subjects: 
Critical values
normalizing and variance-stabilizing transformation
unit root tests
JEL: 
C01
C12
C15
Document Type: 
Working Paper

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