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Unit Root Tests

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Abstract

Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided. Classification-JEL: C22

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File URL: http://cowles.econ.yale.edu/P/cd/d11a/d1104.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1104.

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Length: 25 pages
Date of creation: Jun 1995
Date of revision:
Publication status: Published in Samuel Kotz, ed., Encyclopedia of Statistical Sciences, Update Vol. 1, 1997, pp. 531-542
Handle: RePEc:cwl:cwldpp:1104

Note: CFP 944.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Autoregressive unit root; Brownian motion; functional central limit theorem; integrated process; LM principle; model selection; moving average unit root; nonstationarity; quasi-differencing; stationarity; stochastic trend;

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Cited by:
  1. Mohd Zaini Abd Karim & Amy Azhar Mohd Harif & Azira Adziz, 2006. "Monetary Policy and Sectoral Bank Lending in Malaysia," Global Economic Review, Taylor & Francis Journals, vol. 35(3), pages 303-326.
  2. Roberto Basile & Mauro Costantini & Sergio Destefanis, 2005. "Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions," CELPE Discussion Papers 94, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy.
  3. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
  4. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  5. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University.
  6. Jan Beran & Dirk Ocker, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Paper 99-13, Center of Finance and Econometrics, University of Konstanz.
  7. John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
  8. Hsiao, Cheng & Pesaran, M. Hashem, 2004. "Random Coefficient Panel Data Models," IZA Discussion Papers 1236, Institute for the Study of Labor (IZA).
  9. Zhije Xiao & Peter C.B. Phillips, 1998. "An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 27-43.
  10. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA.
  11. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
  12. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..

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