RESTRICTED STRUCTURAL CHANGE AND THE UNIT ROOT HYPOTHESIS

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

A nonlinear alternative to the unit root hypothesis

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented, extending earlier work, and two F type tests are proposed. Small sample simulations show some size distortio...

Unit Root Tests using GLS Detrended Data and Covariates in Structural Change Models∗

This paper extends the results of Elliott and Jansson (2003) to the context of structural change models. We show that when testing for a unit root against stationarity with an unknown structural break, substantial power gains can be achieved by incorporating extra information contained in an arbitrary number of covariates. The power gains are dependent on the long-run correlation between the sh...

Seasonal Unit Root Tests Under Structural Breaks

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks