This paper provides a new unit root test based on an alternative parameterization which has previously been considered by Bhargava (1986). This parameterization allows for trend under both the null and the alternative, without introducing any parameters that are irrelevant under either. This is not so in the Dickey-Fuller parameterizations. The new test is extracted from the score or LM principle under the assumption that the errors are iid N(0, sigma squared (epsilon)), but our asymptotics hold under more general assumptions about the errors. Two forms of the test (a coefficient test and at t-test) are derived.
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Length: 37 pages Date of creation: Oct 1989 Date of revision: Publication status: Published in Oxford Bulletin of Economics and Statistics (1992), 54(3): 257-287 Handle: RePEc:cwl:cwldpp:933
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.:
Evans, G B A & Savin, N E, 1984.
"Testing for Unit Roots: 2,"
Econometrica,
Econometric Society, vol. 52(5), pages 1241-69, September.
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