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Inconsistency of a Unit Root Test Against Stochastic Unit Root Processes

Daisuke Nagakura

出版	Institute for Monetary and Economic Studies, Bank of Japan, 2009
URL	http://books.google.com.hk/books?id=RkpLyo-23MQC&hl=&source=gbs_api

註釋

"In this paper, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR) process, is inconsistent against a class of ERCA models. This class includes a class of STUR processes as special cases. We show, however, that the well-known Dickey-Fuller (DF) UR tests and an LBI test of Lee (1998) are consistent against a particular case of this class of ERCA models."--Author's abstract.