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Testing for a unit root in time series regression
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.
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Citations
Cited by
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Self-citationThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Self-citationStatistical inference in vector autoregressions with possibly integrated processes
Toda, H. Y., & Yamamoto, T. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01616-8 · Cited by 6,108
Metadata
- Authors
- PHILLIPS, P. C. B., & PERRON, P.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1988
- Volume
- 75
- Issue
- 2
- Pages
- 335-346
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W2097580026
- Cited by
- 19,155
- References
- 0
- FWCI
- 131.66
- Type
- journal article
- Language
- en
- Open access
- closed
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- PHILLIPS, P. C. B., & PERRON, P. (1988). Testing for a unit root in time series regression. Biometrika. https://doi.org/10.1093/biomet/75.2.335
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
