Unit Root Testing with Slowly Varying Trends

• Tác giả: Sven Otto
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.75 Nonlinear systems
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164060

Tóm tắt

A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some Lipschitz condition. Under both fixed-$b$ and small-$b$ block asymptotics, the limiting distribution of the t-statistic for the unit root hypothesis is derived. Nuisance parameter corrections provide heteroskedasticity-robust tests, and serial correlation is accounted for by pre-whitening. A Monte Carlo study that considers slowly varying trends yields both good size and improved power results for the proposed tests when compared to conventional unit root tests.