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Testing for a unit root in a nonlinear quantile autoregression framework.
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- Author(s): Li, Haiqi; Park, Sung Y.
- Source:
Econometric Reviews; 2018, Vol. 37 Issue 8, p867-892, 26p- Subject Terms:
- Source:
- Additional Information
- Abstract: The nonlinear unit root test of Kapetanios, Shin, and Snell (
2003 ) (KSS) has attracted much recent attention. However, the KSS test relies on the ordinary least squares (OLS) estimator, which is not robust to a heavy-tailed distribution and, in practice, the test suffers from a large power loss. This study develops three kinds of quantile nonlinear unit root tests: the quantilet -ratio test; the quantile Kolmogorov-Smirnov test; and the quantile Cramer-von Mises test. A Monte Carlo simulation shows that these tests have significantly better power when an innovation follows a non-normal distribution. In addition, the quantilet -ratio test can reveal the heterogeneity of the asymmetric dynamics in a time series. In our empirical studies, we investigate the unit root properties of U.S. macroeconomic time series and the real effective exchange rates for 61 countries. The results show that our proposed tests reject the unit roots more often, indicating that the series are likely to be asymmetric nonlinear reverting processes. [ABSTRACT FROM AUTHOR] - Abstract: Copyright of Econometric Reviews is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Abstract:
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