DF-IV Unit Root Tests Using Stationary Instrument Variables

We propose new unit root tests using stationary instrumental variables in the framework of the Dickey-Fuller (DF) regression. The most noteworthy feature of the suggested tests is that they are free of nuisance parameters. Under the null hypothesis, the proposed test statistic converges to the stand...

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Bibliographic Details
Published in:Journal of Statistical and Econometric Methods 2018-01, Vol.7 (1)
Main Authors: Kyung So Im, Lee, Junsoo, Arcabic, Vladimir, Hur, Mansik
Format: Article
Language:English
Online Access:Get full text
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Summary:We propose new unit root tests using stationary instrumental variables in the framework of the Dickey-Fuller (DF) regression. The most noteworthy feature of the suggested tests is that they are free of nuisance parameters. Under the null hypothesis, the proposed test statistic converges to the standard normal distribution regardless of various types of linear deterministic trends or structural breaks in the time series. Mathematics Subject Classification: 91B84; 62M10
ISSN:2241-0384
2241-0376