A Consistent Test for a Unit Root

Stephen Leybourne () and Brendan McCabe

Journal of Business & Economic Statistics, 1994, vol. 12, issue 2, 157-66

Abstract: This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis and the alternative is a unit-root process. The test is shown to be consistent and its asymptotic null distribution is determined. The authors' findings contrast sharply with those obtained via the standard unit-root tests.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:12:y:1994:i:2:p:157-66

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