This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White's heteroskedasticity consistent standard errors. We...

This note suggests a simple modification to the Kwiatkowski et al. (1994, KPSS) test so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the...

This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high order sample autocovariances and by construction eliminates the effects of nuisance parameters typically induced by...

We investigate the purchasing power parity hypothesis for a group of 17 countries using a new panel based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate, and...