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The proposed procedures are based on unit root tests with in-fill asymptotics but extended to take the empirical features of high-frequency financial data (particularly jumps) into consideration. We derive the limiting distributions of the tests under both the null hypothesis of a random walk with jumps and the alternative of mean reversion\/explosiveness with jumps. The limiting results show that ignoring the presence of jumps could potentially lead to severe size distortions of both the standard left-sided (against mean reversion) and right-sided (against explosiveness) unit root tests. The simulation results reveal satisfactory performance of the proposed tests even with data from a relatively short time span. As an illustration, we apply the procedure to the Nasdaq composite index at the 10-minute frequency over two periods: around the peak of the dot-com bubble and during the 2015\u20132106 stock market sell-off. We find strong evidence of explosiveness in asset prices in late 1999 and mean reversion in late 2015. We also show that accounting for jumps when testing the random walk hypothesis on intraday data is empirically relevant and that ignoring jumps can lead to different conclusions.<\/jats:p>","DOI":"10.1017\/s0266466621000098","type":"journal-article","created":{"date-parts":[[2021,4,8]],"date-time":"2021-04-08T06:28:20Z","timestamp":1617863300000},"page":"113-171","source":"Crossref","is-referenced-by-count":14,"title":["UNIT ROOT TEST WITH HIGH-FREQUENCY DATA"],"prefix":"10.1017","volume":"38","author":[{"given":"S\u00e9bastien","family":"Laurent","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Shuping","family":"Shi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2021,4,8]]},"reference":[{"key":"S0266466621000098_r89","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1994.tb00057.x"},{"key":"S0266466621000098_r80","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.3.599"},{"key":"S0266466621000098_r22","first-page":"520","article-title":"Explosive rational bubbles in stock prices?","volume":"78","author":"Diba","year":"1988","journal-title":"The American Economic Review"},{"key":"S0266466621000098_r33","doi-asserted-by":"publisher","DOI":"10.1093\/erae\/jbs017"},{"key":"S0266466621000098_r53","first-page":"427","volume-title":"Wiley Handbook in Financial Engineering and Econometrics: Volatility Models and Their Applications","author":"Mancini","year":"2011"},{"key":"S0266466621000098_r64","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1080\/07350015.1990.10509786","article-title":"Testing for a unit root in a time series with a changing mean","volume":"8","author":"Perron","year":"1990","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466621000098_r8","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"S0266466621000098_r60","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90012-5"},{"key":"S0266466621000098_r82","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00002.x"},{"key":"S0266466621000098_r2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi016"},{"key":"S0266466621000098_r17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.11.005"},{"key":"S0266466621000098_r90","doi-asserted-by":"publisher","DOI":"10.2307\/2527353"},{"key":"S0266466621000098_r25","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.2011.00662.x"},{"key":"S0266466621000098_r76","unstructured":"Phillips, P.C.B. & Yu, J. 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