Durbin-Hausman Tests for a Unit Root

In Choi

Oxford Bulletin of Economics and Statistics, 1992, vol. 54, issue 3, 289-304

Abstract: The author develops tests for a unit root based on the Durbin-Hausman principle. The ordinary least squares estimator and the pseudo instrumental variables estimator using the current variable as an instrument are employed to formulate test statistics. The limit distributions of these tests are expressed as inverses of the squared Brownian functionals that have not been used previously in testing for a unit root. Finite sample and asymptotic distributions of Durbin-Hausman tests are tabulated by simulations. It is shown by simulations that Durbin-Hausman tests are more powerful than Dickey-Fuller tests when there is an intercept or a linear time trend in the model. Copyright 1992 by Blackwell Publishing Ltd

Date: 1992
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