We Consider the Null Hypothesis That a Time Series Has a Unit Root with Possibly Non-Zero Drift Against the Alternative That the Process Is 'Trend-Stationary'. the Interest Is That We Allow Under Both the Null and Alternative Hypotheses for the Presence of a One-Time Change in the Level Or in...

This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We Consider Two Types of Regression: One with a Constant and Lagged Dependent Variable, and the Other with a Trend Added. the...

Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and...