In this article we propose wild bootstrap implementations of the local generalized least squares (GLS) de-trended M and ADF unit root tests of Stock (1999), Ng and Perron (2001), and Elliott et al. (1996), respectively. The bootstrap statistics are shown to replicate the first-order asymptotic...

In a recent article, Xiao and Lima (2007) show numerically that the stationarity test of Kwiatkowski et al. (1992) has power close to size when the volatility of the innovation process follows a linear trend. In this article, highlighting published results in Cavaliere and Taylor (2005), we show...

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size,...

type="main" xml:id="obes12051-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used...</p>

Many key economic and financial series are bounded either by construction or through policy controls. Conventional unit root tests are potentially unreliable in the presence of bounds, since they tend to over-reject the null hypothesis of a unit root, even asymptotically. So far, very little...

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...