Unit Root Tests Based on Instrumental Variables Estimation

Junsoo Lee () and Peter Schmidt

International Economic Review, 1994, vol. 35, issue 2, 449-62

Abstract: This paper develops new tests of the unit root hypothesis based on instrumental variables estimation. The tests are asymptotically valid in the presence of moving average errors and they are quite accurate in finite samples. They are more powerful against stationary alternatives than other tests that are equally accurate under the null. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1994
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Working Paper: Unit Root Tests Based on Instrumental Variables Estimation (1990)
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