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Tests For Unit Roots: A Monte Carlo Investigation

Listed author(s):
  • G. William Schwert

Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller (1979, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0073.

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Date of creation: Dec 1988
Publication status: published as Journal of Business and Economic Statisticsvo. 7, no.2 pp147-159. April 1989.
Handle: RePEc:nbr:nberte:0073
Note: ME
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