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.

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hdl.handle.net/1765/1592
Econometric Institute Research Papers
Erasmus School of Economics

Taylor, A.M.R, & van Dijk, D.J.C. (1999). Testing for Stochastic Unit Roots - Some Monte Carlo evidence (No. EI 9922-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1592