A number of recently published 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, assumed that the lag length in the unit root test regression is a deterministic function of the...

This paper develops an asymptotic theory for integrated and near-integrated time series whose range is constrained in some ways. Such a framework arises when integration and cointegration analyses are applied to time series that are bounded either by construction or because they are subject to...

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to...

A number of recently published 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, assumed that the lag length in the unit root test regression is a deterministic function of the...