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...

Using numerical simulation, recent research on the properties of unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH) is extended. The principal development concerns consideration of relative properties of linear and non-linear unit root tests in...

In this paper we show that panel unit root tests based on OLS detrending have inferior power relative to tests based on GLS detrending when the deviations of the initial observations from the deterministic components of the series are small. This ranking, however, is reversed for larger...

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for...

In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of the 20th century. We first look at the unit root characteristics of the series which suggest dividing the whole sample into two sub-samples: 1976 to 1989 and 1991 to 2001, as...