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| Margherita Gerolimetto and Stefano Magrini |
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| ''On the power of the simulation-based ADF test in bounded time series'' |
| ( 2017, Vol. 37 No.1 ) |
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| Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among which the ADF), valid in case the time series under test is bounded. In this note, we present a Monte Carlo study to investigate, in particular, the power of the simulation-based ADF test against bounded near unit root and bounded fractionally integrated alternative processes. Results show a rather good performance of the simulation-based ADF test, particularly for near unit root alternatives.
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| Keywords: Bounded time series, Stationarity, Unit root tests, Monte Carlo experiment |
JEL: C1 - Econometric and Statistical Methods: General
C6 - Mathematical Methods and Programming: General |
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| Manuscript Received : Mar 31 2016 | | Manuscript Accepted : Mar 20 2017 |
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