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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Published in:Journal of Statistical and Econometric Methods 2018-01, Vol.7 (1)
Main Authors: Kyung So Im, Lee, Junsoo, Arcabic, Vladimir, Hur, Mansik
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creator Kyung So Im
Lee, Junsoo
Arcabic, Vladimir
Hur, Mansik
description 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
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title DF-IV Unit Root Tests Using Stationary Instrument Variables
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