Testing for a Unit Root in the Presence of a Maintained Trend
AbstractThis paper develops statistics for detecting the presence of a unit root in time series data against the alternative stationarity. Unlike most existing procedures, the new tests allow for deterministic trend polynomials in the maintained hypothesis. They may be used to discriminate between unit root nonstationarity and processes which are stationary around a deterministic polynomial trend. The tests allow for both forms of nonstationarity under the null hypothesis. Moreover, the tests allow for a wide class of weakly dependent and possibly heterogenously distributed procedures. We illustrate the use of the new tests by applying them to a number of models of macroeconomic behavior.
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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 880.
Length: 40 pages
Date of creation: Jun 1988
Date of revision:
Publication status: Published in B. Raj, ed., Advances in Econometrics and Modelling, 1989, pp. 7-28
Note: CFP 756.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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