Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root
Essays in Honor of Joon Y. Park: Econometric Theory
ISBN: 978-1-83753-209-4, eISBN: 978-1-83753-208-7
Publication date: 24 April 2023
Abstract
The authors propose a family of tests for stationarity against a local unit root. It builds on the Karhunen–Loève (KL) expansions of the limiting CUSUM process under the null hypothesis and a local alternative. The variance ratio type statistic
Keywords
Acknowledgements
Acknowledgments
Earlier versions of this chapter were presented at the 13th International Conference on Computational and Financial Econometrics (London, 2019), the 2nd Italian Workshop of Econometrics and Empirical Economics (Venice, 2020). We are grateful to Ye Lu, Morten Nielsen, and Martin Wagner for helpful comments. We further thank an anonymous referee and Isaac Miller (Editor) for thoughtful and very helpful suggestions.
Citation
Hassler, U. and Hosseinkouchack, M. (2023), "Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root", Chang, Y., Lee, S. and Miller, J.I. (Ed.) Essays in Honor of Joon Y. Park: Econometric Theory (Advances in Econometrics, Vol. 45A), Emerald Publishing Limited, Leeds, pp. 97-114. https://doi.org/10.1108/S0731-90532023000045A003
Publisher
:Emerald Publishing Limited
Copyright © 2023 Uwe Hassler and Mehdi Hosseinkouchack