In this paper, we propose a Nonlinear Dickey-Fuller test for unit root against first order Logistic Smooth Transition Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller test statistic is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. The asymptotic distribution of the test...

In a recent paper, Dolado, Gonzalo and Mayoral (2002) introduce a fractional Dickey-Fuller (FD-F) t-statistic for testing a unit root against the alternative of a mean reverting fractional unit root process. This t-statistic is based on the assumption that the errors are unconditionally homoskedastic. However, Busetti and Taylor (2003), McConnell and Perez-Quiros (2000), and van Dijk et al. (20...

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when applied to regression residuals is more powerful than Geweke-Porter-Hudak tests and the Augmented Dickey...

This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain re...

This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationa...