A Primer on Unit Root Testing

Peter Phillips and Zhijie Xiao

No 1189, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and an annotated bibliography are provided.

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)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 51 pages
Date: 1998-08
Note: CFP 972.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (114)

Published in Journal of Economic Surveys (1998), 12(5): 423-469

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d11/d1189.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: A Primer on Unit Root Testing (1998)
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:cwl:cwldpp:1189

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().