Testing for Unit Roots in Time Series Data

Sastry G. Pantula

Econometric Theory, 1989, vol. 5, issue 2, 256-271

Abstract: Let Yt satisfy the stochastic difference equation for t = 1,2,…, where et are independent and identically distributed random variables with mean zero and variance σ2 and the initial conditions (Y−p+1,…, Y0) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m1,m2,…,mp of satisfy the hypothesis Hd: m1 = … = md = 1 and |mj|

Date: 1989
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