An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy

Zhijie Xiao and Peter Phillips

No 1161, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper proposes an ADF coefficient test for detecting the presence of a unit root in ARMA models of unknown order. Our approach is fully parametric. When the time series has an unknown deterministic trend, we propose a modified version of the ADF coefficient test based on quasi-differencing in the construction of the detrending regression as in Elliot, Rothenberg and Stock (1996). The limit distributions of these test statistics are derived. Empirical applications of these tests for common macroeconomic time series in the US economy are reported and compared with the usual ADF t-test.

Pages: 18 pages
Date: 1997-09
Note: CFP 1105.
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Citations: View citations in EconPapers (7)

Published in Econometrics Journal (1988), 1(2): 27-43

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Journal Article: An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy (1998)
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