In this paper we analyze the problem of testing for the presence of unit roots
and cointegration in the case of macro-economic and financial time series. Traditional
units test are not suitable for these series as they present permanent volatility shifts, so
different tests have been proposed. We consider a wild bootstrap version of the M unit
test. Instead of standard normal bootstrap residuals Student-t bootstrap residuals are
used. Some simulations been performed comparing the results obtained using both type
of bootstrap residuals. The application regards to the MSCI Equity Indices.
