Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

This paper proposes t-like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very...

This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against...

This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test....

Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....