Exact distribution and critical values of a unit root test in the presence of change in variance

Abstract

This paper, using the Imhof (1961) method, shows the method of evaluating numerically the exact distribution of a unit root test statistic when the error variance changes. Based on the method, the effect of the change in variance on the exact distribution is examined, and we tabulate numerically exact critical values when the sample size is small and moderate.

Notes

 This research is partially supported by the Grants-in-Aid for 21st Century COE program.

Additional information

Notes on contributors

Kazuhiro Ohtani

 This research is partially supported by the Grants-in-Aid for 21st Century COE program.