Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61715 
Authors: 
Year of Publication: 
1999
Series/Report no.: 
SFB 373 Discussion Paper No. 1999,36
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
Following Bierens (1997a,b) and Vogelsang (1998a,b), unit root tests can be constructed which are asymptotically invariant to parameters involved by the short run dynamics of the process. Such an approach is called nonparametric by Bierens (1997b) and can be used to test a wide range of nonlinear models. We consider three different versions of such a test. However, simulation results suggest that only the variance ratio statistic is able to compete with the traditional augmented Dickey-Fuller test. A straightforward generalization of the variance ratio statistic is suggested, which can be used to test the cointegration rank in the spirit of Johansen (1988).
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
237.77 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.