A Consistent Test for a Unit Root.

This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis and the alternative is a unit-root process. The test is shown to be consistent and its asymptotic null distribution is determined. The authors' findings contrast sharply with those obtained via the standard unit-root tests.

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Year of publication:	1994
Authors:	Leybourne, S J ; McCabe, B P M
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 12.1994, 2, p. 157-66
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005732711