This paper proposes Lagrange Multiplier based panel unit root tests allowing for structural breaks through simple extensions of existing group mean and combination tests. The proposed tests are more general than those previously suggested. They consider potential breaks in the intercept, in the...

Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

This paper considers the economic implications of having unit roots in stochastic processes of variables like consumption or GDP. Using a variety of models, we develop indirect tests for unit roots based on sharp distinctions that should arise when the scale variable is either difference...

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...

The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses,...