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Tests For Unit Roots: A Monte Carlo Investigation
Open accessAbstract
Recent work by Said and Dickey(1964,1965).t'hillips(1957).and Phillips end Perron(1988) esslEines tests for unit roots in the autoregressive part of ndxed autoregressive-integrated-sioving average (ARIMA) models (tests for stationerity).Monte Carlo experisents show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller(1979,198i) for autoregressive processes.In particular, the tests developed by Phillips(1987) and Phillips and Perron(1988) seem more sensitive to usodel stespecification thsn the high order autoregressive approxi.Estioo suggested by Said and Dickey(1984).
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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
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
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Self-citationUnit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Ng, S., & Perron, P. (1995) · Journal of the American Statistical Association · doi:10.1080/01621459.1995.10476510 · Cited by 1,457
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
Metadata
- Authors
- Schwert, G. W.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1988-12
- OpenAlex
- W3123946376
- Cited by
- 1,222
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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