Unit root testing
Juergen Wolters and
No 2005/23, Discussion Papers from Free University Berlin, School of Business & Economics
The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey and Fuller (1979). Reviewing this test and variants thereof we focus on the importance of modelling the deterministic component. In particular, we survey the growing literature on tests accounting for structural shifts. Finally, further applied aspects are addressed how to get the size correct and obtain good power at the same time.
Keywords: Dickey-Fuller; size and power; deterministic components; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
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Journal Article: Unit root testing (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fubsbe:200523
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