Semiparametric tests for double unit roots based on symmetric estimators

We develop new semiparametric tests for double unit roots under a weakly de pendent error structure of Phillips for tests for a unit root. The tests ar e based on symmetric estimation of Sen and Dickey. Through Monte Carlo simu lations, the new tests are compared with the tests of Haldrup and of Dickey and Pantula. Our tests have empirical sizes close to the nominal size even when the innovations follow a negatively autocorrelated moving average, fo r which the semiparametric tests of Haldrup are oversized. Moreover, our te sts have better power than the other two tests against I(1), explosive, and stationary alternatives. The tests are applied to the yearly Korean wholes ale price and consumer price indexes. Some 1(2) structure is evident for th e indexes.