Unit root

Unit Roots, Cointegration and Pre-Testing in VAR Models

This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and …

Residuals-based Tests for the Null of No-Cointegration: An Analytical Comparison

This article studies the asymptotic distribution of five residuals‐based tests for the null of no‐cointegration under a local alternative when the tests are computed using both ordinary least squares (OLS) and generalized least squares …

Small-Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent. The goal of this paper is to propose a simple method that is not pointwise …

On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973

Point estimates suggest mean reversion in real exchange rates; however, it still remains uncomfortable that models without any mean reversion are often compatible with data from the floating period. Studies with data over longer periods find mean …

Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, …