a r t i c l e i n f o JEL classification: C10 C12 C22 C50 Keywords: (Nonlinear) unit root test Heteroskedasticity Wild bootstrapping Purchasing power parity In spite of the extensive research which has already been undertaken, the issue as to whether Purchasing Power Parity (PPP) empirically holds, continues to be strongly debated. Existing studies have been criticized for their reliance on uni...

This study examines the impact of Foreign Direct Investment (FDI) on agricultural sector in Ivory Coast from 1990 to 2018. Phillips-Peron tests and augmented Dickey-Fuller were employed for a unit root variables. The Johansen Cointegration test VAR used estimate stability normality. VECM analyze short-term long-term dynamics. Results reveal that FDI has negative long run relationship but signif...

A Monte Carlo experiment is used to examine the size and power properties of alternative Bayesian tests for unit roots. Four different prior distributions for the root that is potentially unity – a uniform prior and priors attributable to Jeffreys, Lubrano, and Berger and Yang – are used in conjunction with two testing procedures: a credible interval test and a Bayes factor test. Two extensions...

In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a linear autoregression with a unit root, stationary regressors and a constant term. As a byproduct we ...

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a unit root in the log-squared time series. This strategy for inference has many advantages, but is n...

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and futures prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are b...