Testing for unit roots using economics

Romulo Chumacero

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper considers the economic implications of having a unit root (UR) on the stochastic process of variables such as consumption or GDP. Using a variety of models, we develop indirect tests for unit roots based on sharp distinctions that should arise when the scale variable is difference stationary (DS) or trend stationary (TS). We show that these tests do not feature the undesirable size-power trade-off that characterizes traditional UR tests and apply them to a range of countries.

Date: 2001-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-pke
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Testing For Unit Roots Using Economics (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:102

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