STATIONARITY TESTING WITH COVARIATES

Michael Jansson C

37 citations0/0 files storedEconometric Theory

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

Abstract

Two new stationarity tests are proposed. Both tests can be viewed as generalizations of existing stationarity tests and dominate these in terms of local asymptotic power. Improvements are achieved by accommodating stationary covariates. A Monte Carlo investigation of the small sample properties of the tests is conducted, and an empirical illustration from international finance is provided.This paper has benefited from the comments of Pentti Saikkonen (the co-editor), two anonymous referees, and seminar participants at University of Aarhus, Indiana University, Purdue University, Stanford University, UC Riverside, the 2001 Nordic Econometric Meeting, and the 2001 NBER Summer Institute. A MATLAB program that implements the tests proposed in this paper is available at http://elsa.Berkeley.EDU/users/mjansson.

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1997Foundations of International Macroeconomics 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1992Canonical Cointegrating Regressions 1991Asymptotically Efficient Estimation of Cointegration Regressions

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2013Low-frequency robust cointegration testing 2004Point optimal tests of the null hypothesis of cointegration 2002REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES 2020Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis 2016TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS

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