Tests for Unit Roots: A Monte Carlo Investigation
- 1 April 1989
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 7 (2) , 147-159
- https://doi.org/10.1080/07350015.1989.10509723
Abstract
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).Keywords
All Related Versions
This publication has 14 references indexed in Scilit:
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- Effects of model specification on tests for unit roots in macroeconomic dataJournal of Monetary Economics, 1987
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixEconometrica, 1987
- Time Series Regression with a Unit RootEconometrica, 1987
- Information Aggregation, Inflation, and the Pricing of Indexed BondsJournal of Political Economy, 1985
- Testing for unit roots in autoregressive-moving average models of unknown orderBiometrika, 1984
- Testing for Unit Roots: 2Econometrica, 1984
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit RootEconometrica, 1981
- Estimation of a non-invertible moving average processJournal of Econometrics, 1977
- The behaviour of the sample autocorrelation function for an integrated moving average processBiometrika, 1973