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A GENERALIZATION OF THE BURRIDGE–GUERRE NONPARAMETRIC UNIT ROOT TEST

Published online by Cambridge University Press:  23 May 2006

Ana García  and
Andreu Sansó
Ana García
Affiliation:
University Rey Juan Carlos
Andreu Sansó
Affiliation:
Universitat de les Illes Balears
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Abstract

In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705–723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful comments from an anonymous referee. We gratefully acknowledge the financial support of the Ministerio de Ciencia y Tecnología and the Conselleria d'Economia, Hisenda i Innovació, grants BEC2002-03769 and PRIB-2004-10095, respectively.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 756 - 761
Copyright
© 2006 Cambridge University Press

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References

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