A Primer on Unit Root Testing.
The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided. Copyright 1998 by Blackwell Publishers Ltd
Year of publication: |
1998
|
---|---|
Authors: | Phillips, Peter C B ; Xiao, Zhijie |
Published in: |
Journal of Economic Surveys. - Wiley Blackwell. - Vol. 12.1998, 5, p. 423-69
|
Publisher: |
Wiley Blackwell |
Saved in:
Saved in favorites
Similar items by person
-
The Exact Distribution of LIML: II.
Phillips, Peter C B, (1985)
-
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s.
Phillips, Peter C B, (1996)
-
Parameter Constancy in Cointegrating Regressions.
Quintos, Carmela E, (1993)
- More ...