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Los contrastes de raiz unitaria: una panorámica

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  • María del Mar Sánchez de la Vega

    (Departamento de Métodos Cuantitativos para la Economía. Universidad de Murcia. Ronda de Levante, 10. 30008 Murcia.)

  • Arielle Beyaert

    (Departamento de Métodos Cuantitativos para la Economía. Universidad de Murcia. Ronda de Levante, 10. 30008 Murcia.)

Abstract

El objetivo de este artículo es presentar una panorámica de los contrastes de raíz unitaria propuestos en la literatura, que pretende servir de guía práctica para el investigador que necesite hacer uso de este tipo de técnicas. El estudio se ciñe a los contrastes aplicables a series no estacionales cuya media es homogénea en todo el recorrido muestral, en el sentido de que esa media toma el mismo valor constante, o sigue la misma función polinímica del tiempo a lo largo de toda la muestra. El análisis de los contrastes de raíz unitaria con cambio estructural, que conviene utilizar cuando la serie cambia de media, se realizará en un trabajo posterior. The aim of this paper is to present a survey of the unit root tests appeared in the literature. It intends to serve as a guide for the research who needs to apply this type of techniques. It is centered on tests to be applied on non-seasonal series without structural change. The teatment of seasonal series and/or series series with a mean that changes at discrete points of time is left for another paper.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 1 (1994)
Issue (Month): (Junio)
Pages: 109-154

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Handle: RePEc:lrk:eeaart:1_2_6

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Related research

Keywords: Tests; Unit Roots; Integrated Series;

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References

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  1. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  2. Schmidt, P. & Phillips, P.C.B., 1990. "Testing forUnit Root in the Presence of Deterministic Trends," Papers 8904, Michigan State - Econometrics and Economic Theory.
  3. Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 369-84, July.
  4. Said, Said E., 1991. "Unit-roots test for time-series data with a linear time trend," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 285-303, February.
  5. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  6. Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  8. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
  9. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
  10. Francis X. Diebold & Marc Nerlove, 1988. "Unit roots in economic time series: a selective survey," Finance and Economics Discussion Series 49, Board of Governors of the Federal Reserve System (U.S.).
  11. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-74, January.
  12. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-69, September.
  13. West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
  14. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May.
  15. Lee, J. & Schmidt, P., 1991. "A Modification of the Schmidt-Phillips Unit Root Test," Papers 9001, Michigan State - Econometrics and Economic Theory.
  16. Hall, Alastair & Hassett, Kevin, 1991. "Instrument choice and tests for a unit root," Economics Letters, Elsevier, vol. 35(2), pages 161-165, February.
  17. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
  18. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  19. Hall, Alastair, 1992. "Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 223-250.
  20. Sen, D L & Dickey, David A, 1987. "Symmetric Test for Second Differencing in Univariate Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 463-73, October.
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