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Testing for Unit Roots: What Should Students Be Taught?

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  • John Elder
  • Peter E. Kennedy

Abstract

Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they double- or triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. F tests are used as a vehicle for understanding, but t tests are recommended in the end, consistent with common practice.

Suggested Citation

  • John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
  • Handle: RePEc:taf:jeduce:v:32:y:2001:i:2:p:137-146 DOI: 10.1080/00220480109595179
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    References listed on IDEAS

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    1. Cooper, Russell & DeJong, Douglas V. & Forsythe, Robert & Ross, Thomas W., 1996. "Cooperation without Reputation: Experimental Evidence from Prisoner's Dilemma Games," Games and Economic Behavior, Elsevier, pages 187-218.
    2. Dawes, Robyn M & Thaler, Richard H, 1988. "Anomalies: Cooperation," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 187-197, Summer.
    3. C. Monica Capra, 1999. "Anomalous Behavior in a Traveler's Dilemma?," American Economic Review, American Economic Association, pages 678-690.
    4. Roth, Alvin E, 1988. "Laboratory Experimentation in Economics: A Methodological Overview," Economic Journal, Royal Economic Society, vol. 98(393), pages 974-1031, December.
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