Heteroskedasticity Robust Testing for a Fractional Unit Root

39 Pages Posted: 30 Jul 2008 Last revised: 27 Nov 2008

See all articles by Hsein Kew

Hsein Kew

Monash University - Department of Econometrics & Business Statistics

David Harris

University of Melbourne - Department of Economics

Date Written: November 26, 2008

Abstract

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 show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, both under homoskedasticity and heteroskedasticity.

Suggested Citation

Kew, Hsein and Harris, David, Heteroskedasticity Robust Testing for a Fractional Unit Root (November 26, 2008). Available at SSRN: https://ssrn.com/abstract=1184333 or http://dx.doi.org/10.2139/ssrn.1184333

Hsein Kew

Monash University - Department of Econometrics & Business Statistics ( email )

26 Sir John Monash Drive
Caulfield East, 3145, Victoria
Australia

David Harris (Contact Author)

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

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