IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v20y2004i02p360-381_20.html
   My bibliography  Save this article

Robust Tests Of The Unit Root Hypothesis Should Not Be “Modified”

Author

Listed:
  • Thompson, Samuel B.

Abstract

The rank-based unit root tests proposed by Hasan and Koenker (1997, Econometrica 65, 133–161) have power equal to size for normal innovations. Unit root tests based on M-estimators exhibit the same behavior. The problem occurs because the test statistics are transformed to obtain computationally convenient critical values. I describe a convenient way to compute critical values without transforming the test statistics. The resulting tests are almost as powerful as least squares–based tests for normal errors and much more powerful for thicker tailed distributions.I thank Thomas Rothenberg for many useful comments. This paper is based on my dissertation, which he supervised. I also thank Jack Porter, Jim Powell, Richard Stanton, and Jim Stock for good advice. Comments of Bruce Hansen, the editor, and two anonymous referees improved the exposition.

Suggested Citation

  • Thompson, Samuel B., 2004. "Robust Tests Of The Unit Root Hypothesis Should Not Be “Modified”," Econometric Theory, Cambridge University Press, vol. 20(2), pages 360-381, April.
    • Handle: RePEc:cup:etheor:v:20:y:2004:i:02:p:360-381_20
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466604202055/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
    2. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    3. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    4. Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
    5. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
    6. Olivier Darné & Amélie Charles, 2012. "A note on the uncertain trend in US real GNP: Evidence from robust unit root tests," Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
    7. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
    8. Colombier, Carsten, 2012. "Healthcare expenditure projections up to 2060," MPRA Paper 104919, University Library of Munich, Germany.
    9. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Other publications TiSEM 004c9726-ec6a-4884-8238-d, Tilburg University, School of Economics and Management.
    10. Carsten Colombier, 2018. "Population ageing in healthcare – a minor issue? Evidence from Switzerland," Applied Economics, Taylor & Francis Journals, vol. 50(15), pages 1746-1760, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:20:y:2004:i:02:p:360-381_20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.