Testing for a unit root in time series regression

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ID: 289116
1988
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Abstract
This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey & Fuller. Simulations are reported on the performance of the new tests in finite samples.
Reference Key
openalex_W2097580026 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Peter C.B. Phillips, Pierre Perrón
Journal jurnal biometrika dan kependudukan
Year 1988
DOI
10.1093/biomet/75.2.335
URL
https://doi.org/10.1093/biomet/75.2.335
Keywords Keywords not found

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