IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series

Listed author(s):
  • Choi, In
Registered author(s):

This paper proposes residual-based tests for the null of level- and trend-stationarity, which are analogs of the LM test for an MA unit root. Asymptotic distributions of the tests are nonstandard, but they are expressed in a unified manner by expressing stochastic integrals. In addition, the tests are shown to be consistent. By expressing the distributions expressed as a function of a chi-square variable with one degree of freedom, the exact limiting probability density and cumulative distribution functions are obtained, and the exact limiting cumulative distribution functions are tabulated. Finite sample performance of the proposed tests is studied by simulation. The tests display stable size when the lag truncation number for the long-run variance estimation is chosen appropriately. But the power of the tests is generally not high at selected sample sizes. The test for the null of trend-stationarity is applied to the U.S. macroeconomic time series along with the Phillips-Perron Z (null) test. For some monthly and annual series, the two tests provide consistent inferential results. But for most series, the two contradictory nulls of trend-stationarity and a unit root cannot be rejected at the conventional significance levels.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: link to article abstract page
Download Restriction: no

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 3-4 (August)
Pages: 720-746

in new window

Handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:720-746_00
Contact details of provider: Postal:
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK

Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:720-746_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.