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Méthodologies de test de la racine unitaire

Listed author(s):
  • ERTUR, Cem


    (LATEC - CNRS - Université de Bourgogne)

Nous présentons dans ce papier une synthèse critique des procédures de tests de la racine unitaire les plus utilisées dans la littérature empirique en distinguant celles qui supposent que la composante déterministe de la série considérée suit une tendance linéaire de celles qui supposent qu'elle suit une composante non-linéaire. Cette distinction est primordiale car la mauvaise spécification de la composante déterministe peut nous conduire à ne pas rejeter à tort l'hypothèse de la racine unitaire. Nous confrontons les stratégies de test élaborées par Dickey, Bell et Miller (1986), Perron (1988) et Dolado, Jenkinson et Sosvilla-Rivero (1990). Nous évaluons leur limite et proposons une règle de conduite permettant de réduire le risque de parvenir à des conclusions erronées à la suite de la mauvaise spécification de la composante déterministe. Nous comparons finalement leur performance dans l'étude de la non-stationnarité caractérisant le PIB réel en France. Nous mettons en évidence des spécifications flexibles permettant de rejeter l'hypothèse de la racine unitaire. / This paper provides a critical survey on unit root testing procedures frequently used in empirical literature. The importance of the hypothesis of linearity of the deterministic component is stressed because its misspecification may result in the false conclusion that the time series has a unit root. Testing strategies elaborated by Dickey, Bell and Miller (1986), Perron (1988) and Dolado, Jenkinson and Sosvilla-Rivero (1990) are compared and their limit is evaluated. An empirical testing strategy is then proposed and applied to the analysis of the nonstationarity exhibited by real GDP in France. We show that it is possible to find some flexible specifications that enable us to reject the unit root null hypothesis.

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Paper provided by LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne in its series LATEC - Document de travail - Economie (1991-2003) with number 1998-13.

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Length: 36 pages
Date of creation: Oct 1998
Handle: RePEc:lat:lateco:1998-13
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