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A nonparametric test for I(0)

Lobato, Ignacio and Robinson, Peter M. (1997) A nonparametric test for I(0). Econometrics; EM/1997/342, EM/1997/342. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Identification Number: EM/1997/342

Abstract

There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first- differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. We propose a test for I(0) against fractional alternatives. The test is non-parametric, and indeed makes no assumptions on spectral behaviour away from zero frequency. It seems likely to have good efficiency against fractional alternatives, relative to other nonparametric tests. The test is given large samle justification, subjected to a Monte Carlo analysis of finite sample behaviour, and applied to various empirical data series.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 1997 the authors
Subjects: H Social Sciences > HB Economic Theory
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:46
URI: http://eprints.lse.ac.uk/id/eprint/2107

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