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Unit root testing

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Author Info
Jürgen Wolters ()
Uwe Hassler ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10182-006-0220-6
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Publisher Info
Article provided by Springer in its journal Allgemeines Statistisches Archiv.

Volume (Year): 90 (2006)
Issue (Month): 1 (March)
Pages: 43-58
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:alstar:v:90:y:2006:i:1:p:43-58

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Related research
Keywords: Dickey-Fuller; size and power; deterministic components; structural breaks JEL C22;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Park, Joon Y. & Sung, Jaewhan, 1994. "Testing for Unit Roots in Models with Structural Change," Econometric Theory, Cambridge University Press, vol. 10(05), pages 917-936, December. [Downloadable!]
  2. Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 755-764, 09. [Downloadable!] (restricted)
    Other versions:
  3. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.
  4. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May. [Downloadable!] (restricted)
  6. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(3), pages 355-369, 05. [Downloadable!] (restricted)
    Other versions:
  7. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
    Other versions:
  8. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
    Other versions:
  9. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 423-69, December. [Downloadable!] (restricted)
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  10. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May. [Downloadable!] (restricted)
  11. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
    Other versions:
  12. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
    Other versions:
  13. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May. [Downloadable!] (restricted)
  14. 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. [Downloadable!] (restricted)
  15. Nankervis, J. C. & Savin, N. E., 1985. "Testing the autoregressive parameter with the t statistic," Journal of Econometrics, Elsevier, vol. 27(2), pages 143-161, February. [Downloadable!] (restricted)
  16. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  17. repec:cup:etheor:v:10:y:1994:i:5:p:917-36 is not listed on IDEAS
  18. George Kapetanios, 2005. "Unit-root testing against the alternative hypothesis of up to m structural breaks," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(1), pages 123-133, 01. [Downloadable!] (restricted)
  19. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
  20. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
    Other versions:
  21. Valkanov, Rossen, 2005. "Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data," Economics Letters, Elsevier, vol. 86(3), pages 427-433, March. [Downloadable!] (restricted)
  22. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 431-447. [Downloadable!] (restricted)
  23. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November. [Downloadable!] (restricted)
    Other versions:
  24. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May. [Downloadable!] (restricted)
  25. 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.).
  26. Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March. [Downloadable!] (restricted)
    Other versions:
  27. Taylor, A M Robert, 2002. "Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 269-81, April.
  28. George Kapetanios, 2002. "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers 469, Queen Mary, University of London, Department of Economics. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  2. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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This page was last updated on 2009-11-25.


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