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Durbin-Hausman Tests for a Unit Root

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  • Choi, In

Abstract

The author develops tests for a unit root based on the Durbin-Hausman principle. The ordinary least squares estimator and the pseudo instrumental variables estimator using the current variable as an instrument are employed to formulate test statistics. The limit distributions of these tests are expressed as inverses of the squared Brownian functionals that have not been used previously in testing for a unit root. Finite sample and asymptotic distributions of Durbin-Hausman tests are tabulated by simulations. It is shown by simulations that Durbin-Hausman tests are more powerful than Dickey-Fuller tests when there is an intercept or a linear time trend in the model. Copyright 1992 by Blackwell Publishing Ltd

Suggested Citation

  • Choi, In, 1992. "Durbin-Hausman Tests for a Unit Root," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 289-304, August.
    • Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:289-304
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    Cited by:

    1. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
    2. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
    3. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
    4. Abadir, Karim M., 1995. "Unbiased estimation as a solution to testing for random walks," Economics Letters, Elsevier, vol. 47(3-4), pages 263-268, March.
    5. Carol Alexander & Michael Barrow, 1994. "Seasonality and Cointegration of Regional House Prices in the UK," Urban Studies, Urban Studies Journal Limited, vol. 31(10), pages 1667-1689, December.
    6. João Frois Caldeira & Marcelo Savino Portugal, 2010. "Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 469-504.

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