Unit Root Test Popularity among Economists: Sampling the Literature

A commonly encountered problem in empirical research involves the choices researchers have to make with respect to data, research methodologies, and/or econometric estimation techniques. In many cases researchers are having to make these choices with less than perfect information. In such cases, it may be useful for researchers to have an idea of which econometric techniques are being used in the profession, especially in their area of specialization. To illustrate this problem this paper investigates the use of 17 different tests for a unit root. The use of these tests was surveyed for 13 journals in the areas of economic growth and development, macroeconomics, and international economics for the period 1997-2000. The results are reported both in terms of the frequency of the use of these tests and the number of different tests employed in each area of specialization and for each journal (breadth). It was found that the use of these tests is not uniform among the three areas with respect to both frequency and breadth. Further, journals within a particular area of specialization differ noticeably in the use of unit root tests. This type of information should be useful to researchers in these three areas and provide a useful way to present information on other types of empirical problems.