Unit root tests in the presence of uncertainty about the non-stochastic trend
A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag length selected by the BIC criterion.
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- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- West, Kenneth D., 1987. "A note on the power of least squares tests for a unit root," Economics Letters, Elsevier, vol. 24(3), pages 249-252.
- Eugene Canjels & Mark W. Watson, 1994.
"Estimating deterministic trends in the presence of serially correlated errors,"
Working Paper Series, Macroeconomic Issues
94-19, Federal Reserve Bank of Chicago.
- Eugene Canjels & Mark W. Watson, 1997. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 184-200, May.
- Eugene Canjels & Mark W. Watson, 1994. "Estimating Deterministic Trends in the Presence of Serially Correlated Errors," NBER Technical Working Papers 0165, National Bureau of Economic Research, Inc.
- Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
- Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
- Phillips, Peter C.B. & Ploberger, Werner, 1994.
"Posterior Odds Testing for a Unit Root with Data-Based Model Selection,"
Cambridge University Press, vol. 10(3-4), pages 774-808, August.
- Peter C.B. Phillips & Werner Ploberger, 1992. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Cowles Foundation Discussion Papers 1017, Cowles Foundation for Research in Economics, Yale University.
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