In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the...

In this paper we investigate whether or not the recently developed class of tests of the unit root null against the alternative of a stochastic unit root forms a useful statistical tool in distinguishing between time series processes whose degree of persistence is no more than that of a unit...

Two problems exist in testing for (co-)integration. One is that current definitions of fractional integration in the time-domain can be incomplete. The other is that disregarding fractional orders of integration can cause incorrectly-sized inference about cointegration. This paper completes the...

We investigate the behaviour of rolling and recursive augmented Dickey-Fuller (ADF) tests against processes which display changes in persistence. We show that the power of the tests depend crucially on the window width and warm up parameter for the rolling and recursive procedures respectively,...

In this paper, we develop a set of new persistence change tests which are similar in spirit to those of Kim [Journal of Econometrics (2000) Vol. 95, pp. 97-116], Kim et al. [Journal of Econometrics (2002) Vol. 109, pp. 389-392] and Busetti and Taylor [Journal of Econometrics (2004) Vol. 123, pp....

Full-text of this article is not available in this e-prints service. This article was originally published [following peer-review] in Journal of Asia Pacific Economy, published by and copyright Routledge.

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...