In econometric literatures, a number of tests for unit roots have been proposed in the presence of structural changes in I(1) and I(0) model when the numbers of break points are or are not known (though their locations are unknown). Recently [2] proposed a unit root test consisted of two steps: estimating break points and testing a unit root, but their methods resulted in remarkable negative bi...

The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...

a r t i c l e i n f o JEL classification: C23 F31 Keywords: Purchasing power parity Panel SURKSS test with a Fourier function Latin American countries This study applies Panel SURKSS test with a Fourier function to investigate the properties of long-run purchasing power parity (PPP) in fifteen Latin American countries over the period of December 1994 to February 2010. The empirical results from...

The restricted likelihood (RL) of an autoregressive (AR) process of order one with intercept/trend possesses enormous advantages, such as yielding estimates with significantly reduced bias, powerful unit root tests, small curvature and a well-behaved likelihood ratio test (RLRT ) near the unit root. We consider the likelihood ratio test based on the Restricted Likelihood (RLRT ) for the sum of ...

UNIT ROOT TESTING has been developed through numerous papers since the work of Ž . Dickey and Fuller 1979 . The idea is to test the hypothesis that the differences of an observed time series do not depend on its levels, or in other words, the levels of the time series have a unit root that can be removed by differencing. While it is in general possible to have multiple unit roots, only the hypo...

The contribution of this paper is three-fold. Firstly, a characterisation theorem of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it proposes regressionbased tests for the seasonal unit root hypothesis which allow a general se...

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in …nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process wi...

In this paper we focus on two major issues that surround testing for a unit root in practice, namely: (i) uncertainty as to whether or not a linear deterministic trend is present in the data, and (ii) uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. In each case simple testing procedures are proposed with the aim of maintaining good power pro...

This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, θ̂ , we can test the null hypothesis that θ = θ0 for any value of θ0 ∈ (0,1]. The test is asymptotically standard normal and is valid whether or not the panel is crosssectionally correlated. The main insight is that in a panel in which some units a...