Testing for Unit Roots with Stationary Covariances

Graham Elliott () and Michael Jansson

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available. We then derive tests which are simple to construct (involving the running of vector autoregressions) and achieve at a point the power envelopes derived under very general conditions. These tests have excellent properties in small samples. We also show that these are obvious and internally consistent tests to run when identifying structural VAR's using long run restrictions.

Keywords: unit roots; stationary covariates; integrated series (search for similar items in EconPapers)
Date: 2000-05-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.escholarship.org/uc/item/47k7z69n.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Testing for unit roots with stationary covariates (2003)
Working Paper: Testing for Unit Roots with Stationary Covariates (2002)
Working Paper: Testing for Unit Roots with Stationary Covariates (2002)
Working Paper: Testing for Unit Roots with Stationary Covariances (2000)
Working Paper: Testing for Unit Roots with Stationary Covariates
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt47k7z69n

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().