An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
AbstractThis paper proposes an ADF coefficient test for detecting the presence of a unit root in ARMA models of unknown order. Our approach is fully parametric. When the time series has an unknown deterministic trend, we propose a modified version of the ADF coefficient test based on quasi-differencing in the construction of the detrending regression as in Elliot, Rothenberg and Stock (1996). The limit distributions of these test statistics are derived. Empirical applications of these tests for common macroeconomic time series in the US economy are reported and compared with the usual ADF t-test.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1161.
Length: 18 pages
Date of creation: Sep 1997
Date of revision:
Publication status: Published in Econometrics Journal (1988), 1(2): 27-43
Note: CFP 1105.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- 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.
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