A Consistent Test for a Unit Root
This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis and the alternative is a unit-root process. The test is shown to be consistent and its asymptotic null distribution is determined. The authors' findings contrast sharply with those obtained via the standard unit-root tests.
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Volume (Year): 12 (1994)
Issue (Month): 2 (April)
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