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Unit Root Testing

In: Modern Econometric Analysis

Author

Listed:
  • Jürgen Wolters

    (Freie Universität Berlin)

  • Uwe Hassler

    (J.W. Goethe Universität Frankfurt)

Abstract

The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey and Fuller (1979). Reviewing this test and variants thereof we focus on the importance of modelling the deterministic component. In particular, we survey the growing literature on tests accounting for structural shifts. Finally, further applied aspects are addressed, for instance, how to get the size correct and obtain good power at the same time.

Suggested Citation

  • Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-32693-9_4
    DOI: 10.1007/3-540-32693-6_4
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    Cited by:

    1. Rotimi Ayoade Ogunjumo, 2024. "Investigating The Effect Of An Underdeveloped Financial Sector On Non-Oil Export In Nigeria," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(240), pages 107-130, January –.
    2. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-022, ZEW - Leibniz Centre for European Economic Research.
    3. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    4. Böckers, Veit & Heimeshoff, Ulrich, 2014. "The extent of European power markets," Energy Economics, Elsevier, vol. 46(C), pages 102-111.
    5. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
    6. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
    7. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.
    8. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.

    More about this item

    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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