Social and Behavioral Sciences Commons^™

A Gaussian Test For Unit Roots With An Application To Great Ratios, Tilak Abeysinghe, Gulasekaran Rajaguru

Gulasekaran Rajaguru

Non-standard distributions are a common feature of many tests for unit-roots and cointegration that are currently available. The main problem with non-standard distributions is that when the true data generating process is unknown, which is the case in general, it is not easy to engage in a specification search because the distribution changes as the specification changes, especially with respect to deterministic components. We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, …