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Tests For Unit Roots: A Monte Carlo Investigation

G. Schwert

No 73, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller (1979, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).

Date: 1988-12
Note: ME
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Published as Journal of Business and Economic Statisticsvo. 7, no.2 pp147-159. April 1989.

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Related works:
Journal Article: Tests for Unit Roots: A Monte Carlo Investigation (2002)
Journal Article: Tests for Unit Roots: A Monte Carlo Investigation (1989)
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