NDLI: Tests for Unit Roots: A Monte Carlo Investigation

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Tests for Unit Roots: A Monte Carlo Investigation

Content Provider	Scilit
Author	Schwert, G. William
Copyright Year	1989
Description	Journal: Journal of Business & Economic Statistics Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationary). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests developed by Phillips (1987) and Phillips and Perron (in press) seem more sensitive to model misspecification than the high-order autoregressive approximation suggested by Said and Dickey (1984).
Related Links	http://www.nber.org/papers/t0073.pdf
Ending Page	159
Page Count	13
Starting Page	147
ISSN	07350015
e-ISSN	15372707
DOI	10.1080/07350015.1989.10509723
Journal	Journal of Business & Economic Statistics
Issue Number	2
Volume Number	7
Language	English
Publisher	Informa UK Limited
Publisher Date	1989-04-01
Access Restriction	Open
Subject Keyword	Journal: Journal of Business & Economic Statistics Mathematical Social Sciences Autoregressive Moving Average Stationarity
Content Type	Text
Subject	Statistics and Probability Social Sciences Economics and Econometrics Statistics, Probability and Uncertainty

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