Hostname: page-component-74656f9884-j7cmm Total loading time: 0 Render date: 2026-11-08T08:26:25.045Z Has data issue: false hasContentIssue false

UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

Published online by Cambridge University Press:  01 February 1999

Dong Wan Shin
Affiliation:
Ewha Womans University
Beong Soo So
Affiliation:
Ewha Womans University
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

Adaptive maximum likelihood estimators of unit roots in autoregressive processes with possibly non-Gaussian innovations are considered. Unit root tests based on the adaptive estimators are constructed. Limiting distributions of the test statistics are derived, which are linear combinations of two functionals of Brownian motions. A Monte Carlo simulation reveals that the proposed tests have improved powers over the classical Dickey–Fuller tests when the distribution of the innovation is not close to normal. We also compare the proposed tests with those of Lucas (1995, Econometric Theory 11, 331–346) based on M-estimators.

Information

Type
Research Article
Copyright
© 1999 Cambridge University Press