Testing for Unit Roots: What Should Students Be Taught?

John Elder () and Peter E. Kennedy
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Peter E. Kennedy: Simon Fraser University

Journal of Economic Education, 2001, vol. 32, issue 2, pages 137-146

Abstract: Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they double- or triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. F tests are used as a vehicle for understanding, but t tests are recommended in the end, consistent with common practice.

Keywords: teaching econometrics; unit roots (search for similar items in EconPapers)
JEL-codes: A22 A23 C22 (search for similar items in EconPapers)
Date: 2001
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