Chapter

Testing for a Unit Root

Anindya Banerjee, Juan J. Dolado, John W. Galbraith and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print May 1993 | ISBN: 9780198288107
Published online November 2003 | e-ISBN: 9780191595899 | DOI: http://dx.doi.org/10.1093/0198288107.003.0004

Series: Advanced Texts in Econometrics

 Testing for a Unit Root

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Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and tables of critical values for commonly used tests are given. The chapter also uses functionals of Wiener processes to describe the asymptotic distributions of important test statistics.

Keywords: asymptotic distributions; non‐parametric tests; test statistics; unit root; Wiener processes

Chapter.  18421 words. 

Subjects: Econometrics and Mathematical Economics

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