Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?
Olivier Darné and
Fabien Tripier ()
Working Papers from HAL
This article compares the performances of some non-stationarity tests on simulated series, using the business-cycle model of Chang et al. (2007) [Y. Chang, T. Doh, F. Schorfheide, (2007). Non-stationary Hours in a DSGE Model. Journal of Money, Credit and Banking 39, 357-1373] as data generating process. Overall, Monte Carlo simulations show that the efficient unit root tests of Ng and Perron (2001) [Ng, S., Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554] are more powerful than the standard non-stationarity tests (ADF and KPSS). More precisely, these efficient tests are able to reject frequently the unit-root hypothesis on simulated series using the best specification of business-cycle model found by Chang et al. (2007), in which hours worked are stationary with adjustment costs.
Keywords: unit root rest; DSGE models; hours worked (search for similar items in EconPapers)
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Journal Article: ARE UNIT ROOT TESTS USEFUL IN THE DEBATE OVER THE (NON)STATIONARITY OF HOURS WORKED? (2015)
Working Paper: Are unit root tests useful in the debate over the (non)stationarity of hours worked? (2015)
Working Paper: Are Unit Root Tests Useful in the Debate over the (Non) Stationarity of Hours Worked? (2011)
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