Testing for a unit root in the presence of a variance shift. (English) Zbl 0903.90022

Hamori, Shigeyuki; Tokihisa, Akira

Econ. Lett. 57, No. 3, 245-253 (1997).

Summary: This paper examines the effects of shifts in variance on the unit root test. The limiting distribution of the test statistic is derived, and Monte Carlo experiment evidence on the finite sample is provided. This paper shows that the limiting distribution of the standard unit root test is not invariant to changes in variances. The results are supported by Monte Carlo experiments.

MSC:

91B82

Statistical methods; economic indices and measures

Keywords:

hypothesis testing; unit root test; structural break

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