Work

Testing the unit root hypothesis using generalized range statistics

Year: 2001

Type: article

Abstract: The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to testing procedures that are found to be consistent against I(0), I(2) as well as against fractional integration and misspecification of the deterministic trend. A Monte Carlo simulation reveals that range‐based tests can even outperform standard approaches to nonstationarity tests.

Source: Econometrics Journal

DOI: 10.1111/1368-423x.00057

Author: Giuseppe Cavaliere

Institution: University of Bologna

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2109727965

FWCI: 3.188

Cites: 22

Cited by: 17

Related to: 10