A 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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Paper 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: Handle: RePEc:fth:aixmeq:96a01
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models