Journal Article

A Nonparametric Test for I(0)

Ignacio N. Lobato and Peter M. Robinson

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 65, issue 3, pages 475-495
Published in print July 1998 | ISSN: 0034-6527
Published online July 1998 | e-ISSN: 1467-937X | DOI:
A Nonparametric Test for I(0)

Show Summary Details


There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. We propose a test for I(0) against fractional alternatives. The test is nonparametric, and indeed makes no assumptions on spectral behaviour away from zero frequency. It seems likely to have good efficiency against fractional alternatives, relative to other nonparametric tests. The test is given large sample justification, subjected to a Monte Carlo analysis of finite sample behaviour, and applied to various empirical data series.

Journal Article.  0 words. 

Subjects: Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.