Testing for Unit Roots: What Should Students Be Taught?

<title>Abstract</title> Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they double- or triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. <italic>F</italic> tests are used as a vehicle for understanding, but <italic>t</italic> tests are recommended in the end, consistent with common practice.