Properties of Unit Root Tests for Models with Trend and Cycles
AbstractA unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk and a stationary component. This is what is done in additive decompositions between trend and cycle. The paper analyses the behaviour of the Dickey and Fuller test under this kind of null hypothesis which is more general. It shows that usual Dickey and Fuller tables are no longer relevant.
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Bibliographic InfoPaper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 96a01.
Length: 17 pages
Date of creation: 1996
Date of revision:
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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Web page: http://www.greqam.fr/
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MODELS; ECONOMETRICS; TESTS;
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