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Testing for a Unit Root in Time Series Regression

  • Phillips, P.C.B.

This Paper Proposes Some New Tests for Detecting the Presence of a Unit Root in Quite General Time Series Modesl. Our Approach Is Nonparametric with Respect to Nuisance Parameters and Thereby Allows for a Very Wide Class of Weakly Dependent and Possibly Heterogeneously Distributed Data. the Tests Accomodate Models with a Fitted Drift and a Time Trend So That They May Be Used to Discriminate Between Unit Root Nonstationarity and Stationarity About a Deterministic Trend. the Limiting Distributions of the Statistics Are Obtained Under Both the Unit Root Null and a Sequence of Local Alternatives. Th Latter Noncentral Distribution Theory Yields Local Asymptotic Power Functions for the Tests. These Are Compared with Alternative Procedures Due to Dickey and Fuller. an Exemple Is Provided.

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8633.

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Length: 31P. pages
Date of creation: 1986
Date of revision:
Handle: RePEc:mtl:montde:8633
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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  3. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
  4. Meese, Richard A & Singleton, Kenneth J, 1982. " On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-35, September.
  5. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
  6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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