Abstract This paper generalizes the univariate unit root test proposed by Sollis (2009) by adding correlated covariates for a power boost. The asymptotic distribution of the proposed test is derived, and the asymptotic critical values are tabulated. Simulation experiments are conducted to...

Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant,...

In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

This paper applies the regression quantile approach developed by Koenker and Xiao (2004) to investigate the dynamic behavior of inflation in 12 OECD countries. By analyzing the behavior in a wide range of quantiles, this method allows us to quantify the influence of various sizes of shocks that...

This article employs Hansen's (1995) Covariate Augmented Dickey-Fuller (CADF) test to reexamine the issue of Purchasing Power Parity (PPP) using post-Bretton Woods exchange rate data for 20 industrialized countries. Instead of just using a single covariate as in the literature, we implement the...

A set of unit root tests are applied to test the existence of long-run real interest rate parity among the G-10 countries over the period 1971M1 to 2007M2. Rather than trusting the asymptotic distributions, this article uses simulation techniques to establish the small sample distributions of...

This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009). Our empirical results for six OECD countries suggest that though the nominal...

This paper proposes a new procedure for testing the unit root null against stationary but nonlinear alternatives. This test can be viewed as a generalization of the one developed by Kapetanios et al. (2003) (the KSS test) by incorporating stationary covariates. The asymptotic distribution of the...