Template-Type: ReDIF-Paper 1.0
Author-Name: Taylor, A.M.R.
Author-Name-Last: Taylor
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: Testing for Stochastic Unit Roots - Some Monte Carlo evidence
Abstract: This paper considers the properties of the tests of the null hypothesis of a random walk against the alternative of a stochastic unit root when the data are generated by a process related to, but not exactly equal to, the processes under the null and alternative. The extensive Monte Carlo experiments demonstrate that the test statistics are particularly sensitive to non-stationary RCAR processes with mean root less than unity, random walk processes with structural change in the variance, processes with changing persistence and trend-stationary processes with a break in the trend.
Creation-Date: 1999-05-26
Series: RePEc:ems:eureir
Number: EI 9922-/A
Keywords: monte carlo, random walk, stochastic unit root
Handle: RePEc:ems:eureir:1592