Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-24T19:26:17.806Z Has data issue: false hasContentIssue false
  • English
  • Français

A GENERALIZATION OF THE BURRIDGE–GUERRE NONPARAMETRIC UNIT ROOT TEST

Published online by Cambridge University Press:  23 May 2006

Ana García  and
Andreu Sansó
Ana García
Affiliation:
University Rey Juan Carlos
Andreu Sansó
Affiliation:
Universitat de les Illes Balears
Get access Rights & Permissions [Opens in a new window]

Abstract

In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705–723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful comments from an anonymous referee. We gratefully acknowledge the financial support of the Ministerio de Ciencia y Tecnología and the Conselleria d'Economia, Hisenda i Innovació, grants BEC2002-03769 and PRIB-2004-10095, respectively.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 756 - 761
Copyright
© 2006 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Akonom, J. (1993) Processus transformes d'un Arma ou d'un processus del sommes partielles. Annales de l'Institut Henri Poincare 29, 57–81.Google Scholar
Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations of Econometrics. Cambridge University Press.
Burridge, P. & E. Guerre (1996) The limit distribution of level crossings of a random walk. Econometric Theory 12, 705–723.Google Scholar
Elliott, G., T.J. Rothenberg, & J.H. Stock (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813–836.Google Scholar
Ng, S. & P. Perron (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 16, 1519–1554.Google Scholar
Phillips, P.C.B. & P. Schmidt (1992) LM tests for a unit root in the presence of a deterministic trend. Oxford Bulletin of Economics and Statistics 54, 257–287.Google Scholar
Revuz, D. & M. Yor (1991) Continuous Martingales and Brownian Motion. Springer-Verlag.
Sul, D., P.C.B. Phillips, & C.Y. Choi (2005) Prewhitening bias in HAC estimation. Oxford Bulletin of Economics and Statistics 67, 517–546.Google Scholar