Testing for a Unit Root in the Presence of a Maintained Trend

Peter Phillips, Sam Ouliaris and Joon Park

No 880, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper develops statistics for detecting the presence of a unit root in time series data against the alternative stationarity. Unlike most existing procedures, the new tests allow for deterministic trend polynomials in the maintained hypothesis. They may be used to discriminate between unit root nonstationarity and processes which are stationary around a deterministic polynomial trend. The tests allow for both forms of nonstationarity under the null hypothesis. Moreover, the tests allow for a wide class of weakly dependent and possibly heterogenously distributed procedures. We illustrate the use of the new tests by applying them to a number of models of macroeconomic behavior.

Keywords: Unit roots; stationarity; time series; deterministic trend; co-integration (search for similar items in EconPapers)
Pages: 40 pages
Date: 1988-06
Note: CFP 756.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (115)

Published in B. Raj, ed., Advances in Econometrics and Modelling, 1989, pp. 7-28

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