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Cited by 19,155

The DOI matches its Crossref record.

Testing for a unit root in time series regression

PHILLIPS, PETER C. B., PERRON, PIERRE·1988·Biometrika
DOI 10.1093/biomet/75.2.335
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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.

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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
DOI
10.1093/biomet/75.2.335
OpenAlex
W2097580026
Cited by
19,155
References
0
FWCI
131.66
Type
journal article
Language
en
Open access
closed

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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.