This Paper Presents a Summary of Recent Work on a New Methodology to Test for the Presence of a Unit Root in Univariate Time Series Models. the Stochastic Framework Is Quite General. While the Dickey-Fuller Approach Accounts for the Autocorrelation of the First-Differences of a Serie in a Paremetric Fashion by Estimating Additional Nuisance Parameters, This New Approach Deals with This Phenomenon in a Nonparametric Way. We Apply These New Tests to Reassess Recent Findings on the Behavior of Common Macroeconomic Time Series, Including the Various Series Studies by Nelson and Plosser (1982).
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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number
8650.
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