Efficiency of stock markets is an essential characteristic to provide fair investment opportunities to all class of investors. It suggests that no investor shall be able to make abnormal gains using any information or by way of analysis. An understanding about the level of efficiency explores avenues for unnatural profits from the stock market. Efficient markets tend to immediately reflect all ...

It is known that the normal Dickey-Fuller critical values for unit root tests are distort when conditional heteroskedasticity in the errors is present (Hamori and Tokihisa (1997)). In this paper we will be introducing robust critical values for unit root tests under the presence of conditional heteroskedasticity using wild bootstrapping methodology suggested by Wu (1986). Monte Carlo simulation...

sts15 Tests for stationarity of a time series Christopher F. Baum, Boston College, [email protected] Abstract: Implements the Elliott–Rothenberg–Stock (1996) DF-GLS test and the Kwiatkowski–Phillips–Schmidt–Shin (1992) KPSS tests for stationarity of a time series. The DF-GLS test is an improved version of the augmented Dickey–Fuller test. The KPSS test has a null hypothesis of stationarity and may be...

The main objective of this paper is to shed light on the problem of low power for the Dickey-Fuller type unit root tests. It is argued that the low power is primarily due to the non-nestedness of the Autoregressive (AR(1)) and the Unit Root (UR(1)) models. The paper proposes an AR(1) model with Conditional Heterogeneity (ARCHET(1)) which parametrically encompasses the UR(1) model. A number of s...

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 used gold as dependent v...

We develop unit root tests using additional time series as suggested in Hansen (1995). However, we allow for the covariate to enter the model in a nonlinear fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter is estimated at rate N even though part of the model is estimated nonparametrically. The limi...

This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parame...

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...

We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation.  2001 Elsevier Science B.V. All rights reserved.