IDEAS home Printed from
   My bibliography  Save this paper

A Robust, Uniformly Most Powerful Unit Root Test


  • Jeffrey A. Mills



Mills (2008) examines an alternative procedure for testing precise hypotheses based on specifying a set of precise alternative hypotheses. Mills shows that this method resolves several problems with the standard procedure, particularly the Jeffreys-Lindley-Bartlett paradox, and has desirable properties. This paper applies this new testing procedure to the unit root hypothesis for an AR(1) model. A Monte Carlo simulation experiment is conducted to study the performance of the test in terms of robustness to the specification of the prior distribution. The resulting new test is compared with the best alternatives, namely the tests of Conigliani and Spezzaferri (2007) and Elliot, Rothenberg and Stock (1996).

Suggested Citation

  • Jeffrey A. Mills, 2009. "A Robust, Uniformly Most Powerful Unit Root Test," University of Cincinnati, Economics Working Papers Series 2009-02, University of Cincinnati, Department of Economics, revised 2009.
  • Handle: RePEc:cin:ucecwp:2009-02

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cin:ucecwp:2009-02. 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: (Sourushe Zandvakili). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.