Testing for unit roots based on sample autocovariances

@article{Chang2021TestingFU,
  title={Testing for unit roots based on sample autocovariances},
  author={Jinyuan Chang and Guanghui Cheng and Qiwei Yao},
  journal={Biometrika},
  year={2021}
}
We propose a new unit-root test for a stationary null hypothesis $H_0$ against a unit-root alternative $H_1$. Our approach is nonparametric as $H_0$ only assumes that the process concerned is $I(0)$ without specifying any parametric forms. The new test is based on the fact that the sample autocovariance function (ACVF) converges to the finite population ACVF for an $I(0)$ process while it diverges to infinity for a process with unit-roots. Therefore the new test rejects $H_0$ for the large… Expand