Unit Root Tests

Peter Phillips

No 1104, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided. Classification-JEL: C22

Keywords: Autoregressive unit root; Brownian motion; functional central limit theorem; integrated process; LM principle; model selection; moving average unit root; nonstationarity; quasi-differencing; stationarity; stochastic trend (search for similar items in EconPapers)
Pages: 25 pages
Date: 1995-06
Note: CFP 944.
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Citations: View citations in EconPapers (13)

Published in Samuel Kotz, ed., Encyclopedia of Statistical Sciences, Update Vol. 1, 1997, pp. 531-542

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