Heteroskedasticity-robust testing for a fractional unit root created by Hsein Kew and David Harris

By:

Kew, Hsein [author]

Contributor(s):

Harris, David [co author]

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 6Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Heteroscedasticity -- Unit root test

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White’s heteroskedasticity consistent standard errors (White, 1980). We show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, under both homoskedasticity and heteroskedasticity.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.6 (pages 1734-1899)	SP3261	Not for loan	For In House Use Only

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This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White’s heteroskedasticity consistent standard errors (White, 1980). We show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, under both homoskedasticity and heteroskedasticity.

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