A Consistent Test for a Unit Root

A Consistent Test for a Unit Root

This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis, and the alternative is a unit-root process. The test is shown to be consistent, and its asymptotic null distribution is de...

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Veröffentlicht in:Journal of business & economic statistics 1994-04, Vol.12 (2), p.157-166
Hauptverfasser: Leybourne, S. J., McCabe, B. P. M.
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic distribution
Autocorrelation
Autoregressive integrated moving average model
Brownian motion
Consistency
Consistent estimators
Critical values
Economic models
Economic statistics
Hypotheses
Macroeconomic time series
Macroeconomics
Modeling
Monte Carlo simulation
Null hypothesis
Simulation
Simulations
Statistical analysis
Statistical methods
Studies
Time series
U.S.A
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Beschreibung
Zusammenfassung:This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis, and the alternative is a unit-root process. The test is shown to be consistent, and its asymptotic null distribution is determined. Our findings contrast sharply with those obtained via the standard unit-root tests.
ISSN:0735-0015
1537-2707
DOI:10.1080/07350015.1994.10510004