A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business and Economic Statistics) in the two important ways. First, a numerically more stable algorithm is introduced to compute Bayes factors, taking into account the special stru...

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...

In this paper, we propose a minimum LM unit root test that endogenously determines a structural break in intercept and trend. Critical values are provided, and size and power properties are compared to the endogenous one-break unit root test of Zivot and Andrews (1992). Nunes, Newbold, and Kuan (1997) and Lee and Strazicich (2001) previously demonstrated that the Zivot and Andrews test exhibits...

A time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of 3xed unit roots against the alternative that the roots are random and 5uctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in term...

T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small s...

The outcome of popular unit root tests depends heavily on the initial condition, i.e. on the difference between the initial observation and the deterministic component. In some applications it is difficult to rule out small or large values of the initial condition a priori, so this dependence can be quite difficult to deal with in practice. We explore a number of methods for constructing unit r...

The Enders and Granger (1998) unit-root test against stationary alternatives with asymmetric adjustment is applied to the extended Nelson and Plosser dataset. The test rejects the unit-root null roughly as frequently as does the ADF test. JEL Classification C32, E32 * Correspondence: Philip Rothman Department of Economics East Carolina University Greenville, NC 27858 Phone: 252-328-6151 Fax: 25...