Testing for a Unit Root
Published 27 May 1993
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David F. Hendry
Citations879
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
Abstract 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
MathematicsEconomics, Econometrics and Finance
EconometricaCo-Integration and Error Correction: Representation, Estimation, and Testing
31,933 Citations1987Robert F. Engle, C. W. J. Granger
EconometricaA Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
26,139 Citations1980Halbert White
EconometricaA Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
17,123 Citations1987Whitney K. Newey, Kenneth D. West
Journal of Economic Dynamics and ControlStatistical analysis of cointegration vectors
16,790 Citations1988Søren Johansen
Oxford Bulletin of Economics and StatisticsMAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
14,123 Citations1990Søren Johansen, Katarina Jusélius
EconometricaEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
11,158 Citations1991Søren Johansen
Journal of the American Statistical AssociationDistribution of the Estimators for Autoregressive Time Series With a Unit Root
8,965 Citations1979David A. Dickey, Wayne A. Fuller
EconometricaThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
7,672 Citations1989Pierre Perrón
Mathematics in Science and Engineering/Mathematics in science and engineeringStochastic Processes and Filtering Theory
7,414 Citations1970
Journal of EconometricsSpurious regressions in econometrics
6,192 Citations1974Clive W. J. Granger, Paul Newbold
The Review of Economic StudiesStatistical Inference in Instrumental Variables Regression with I(1) Processes
4,777 Citations1990Peter C.B. Phillips, Bruce E. Hansen
Journal of Monetary EconomicsTrends and random walks in macroeconmic time series
4,635 Citations1982Charles R. Nelson, Charles R. Plosser
Cambridge University Press eBooksEconomics and Consumer Behavior
4,293 Citations1980Angus Deaton, John Muellbauer
Economics LettersEfficient tests for normality, homoscedasticity and serial independence of regression residuals
4,235 Citations1980Carlos M. Jarque, Anil K. Bera
Cambridge University Press eBooksForecasting, Structural Time Series Models and the Kalman Filter
4,121 Citations1990Andrew Harvey
EconometricaInference in Linear Time Series Models with some Unit Roots
2,555 Citations1990Christopher A. Sims, James H. Stock +1 more
Journal of Economic Dynamics and ControlTrends and random walks in macroeconomic time series
2,469 Citations1988Pierre Perrón
Journal of EconometricsSome properties of time series data and their use in econometric model specification
2,376 Citations1981Clive W. J. Granger
Journal of Political EconomyCointegration and Tests of Present Value Models
2,143 Citations1987John Y. Campbell, Robert J. Shiller
EconometricaAsymptotic Properties of Residual Based Tests for Cointegration
1,984 Citations1990P. C. B. Phillips, Sam Ouliaris
Journal of EconometricsForecasting and testing in co-integrated systems
1,867 Citations1987Robert F. Engle, Byung Sam Yoo
Journal of EconometricsUnderstanding spurious regressions in econometrics
1,770 Citations1986Peter C.B. Phillips
The Economic JournalEconometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom
1,623 Citations1978James Davidson, David F. Hendry +2 more
Journal of EconometricsSeasonal integration and cointegration
1,480 Citations1990Svend Hylleberg, Robert F. Engle +2 more
EconometricaAsymptotic Properties of Least Squares Estimators of Cointegrating Vectors
1,478 Citations1987James H. Stock
BiometrikaTesting for a Unit Root in Time Series Regression
1,420 Citations1988Peter C.B. Phillips, Pierre Perrón
Oxford Bulletin of Economics and StatisticsTHE POWER OF COINTEGRATION TESTS
1,296 Citations1992Jeroen Kremers, Neil R. Ericsson +1 more
Econometric TheoryAsymptotically Efficient Estimation of Cointegration Regressions
1,260 Citations1991Pentti Saikkonen
Journal of EconometricsCointegration in partial systems and the efficiency of single-equation analysis
987 Citations1992Søren Johansen
The Review of Economic StudiesEstimating Long-Run Economic Equilibria
856 Citations1991Peter C.B. Phillips, Mico Loretan
The Review of Economic StudiesMultiple Time Series Regression with Integrated Processes
846 Citations1986P. C. B. Phillips, Steven N. Durlauf
The Economic JournalHandbook of Econometrics.
788 Citations1985Grayham E. Mizon, Zvi Griliches +1 more
This handbook aims to serve as a source reference and teaching supplement for the field of econometrics the branch of economics concerned with the empirical estimation of economic relationships by focusing on statistical problems and economic interpretation issues associated with the modeling and estimation ofEconomic behavioral relationships from already assembled and often badly collected data.
Long-Run Economic Relationships
768 Citations1991
Journal of Policy ModelingTesting for parameter instability in linear models
757 Citations1992Bruce E. Hansen
Econometric TheoryStatistical Inference in Regressions with Integrated Processes: Part 1
755 Citations1988Joon‐Young Park, Peter C.B. Phillips
Monetary Trends in the United States and the United Kingdom
688 Citations1982Milton Friedman, Anna J. Schwartz
EconometricaTesting Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
688 Citations1983J. D. Sargan, Alok Bhargava
Journal of Policy ModelingTesting weak exogeneity and the order of cointegration in UK money demand data
683 Citations1992Søren Johansen
The Journal of Economic PerspectivesVariable Trends in Economic Time Series
669 Citations1988James H. Stock, Mark W. Watson
Journal of Business and Economic StatisticsTests for Unit Roots: A Monte Carlo Investigation
654 Citations1989G. William Schwert
The Annals of StatisticsLimiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes
637 Citations1988Ngai Hang Chan, Ching-Zong Wei
The Review of Economic StudiesOn the Theory of Testing for Unit Roots in Observed Time Series
617 Citations1986Alok Bhargava
Journal of EconometricsOn the formulation of empirical models in dynamic econometrics
605 Citations1982David F. Hendry, Jean‐François Richard
The Review of Economic StudiesEconometric Evaluation of Linear Macro-Economic Models
604 Citations1986Yock Y. Chong, David F. Hendry
The Economic JournalSerial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England
591 Citations1978David F. Hendry, Grayham E. Mizon
Journal of Business and Economic StatisticsDetermining the Order of Differencing in Autoregressive Processes
538 Citations2002David A. Dickey, Sastry G. Pantula
Cambridge University Press eBooksStatistical Foundations of Econometric Modelling
507 Citations1986Aris Spanos, David F. Hendry
BiometrikaTesting for Unit Roots in Autoregressive-Moving Average Models of Unknown Order
431 Citations1984Saïd E. Saïd, David A. Dickey
Journal of the American Statistical AssociationTesting for Common Trends
428 Citations1988James H. Stock, Mark W. Watson
Economics LettersThe direct estimation of the equilibrium response in a linear dynamic model
412 Citations1979Ronald Bewley
It is shown that any linear dynamic model can be written in a form which enables the equilibrium multipliers to be estimated directly, and these estimates are directly equivalent to those derived from the unrestricted reduced form.
The Review of Economics and StatisticsA Cointegration Analysis of Treasury Bill Yields
395 Citations1992Anthony Hall, Heather M. Anderson +1 more
European Economic ReviewModeling the demand for narrow money in the United Kingdom and the United States
384 Citations1991David F. Hendry, Neil R. Ericsson
The Economic JournalSegmented Trends and Non-Stationary Time Series
337 Citations1989Peter Rappoport, Lucrezia Reichlin
The Economic JournalDynamic Specification, the Long-Run and The Estimation of Transformed Regression Models
319 Citations1988Michael Wickens, Trevor Breusch
EconometricaTrends versus Random Walks in Time Series Analysis
264 Citations1988Steven N. Durlauf, Peter C.B. Phillips
Journal of EconometricsMerging short-and long-run forecasts
237 Citations1989Robert F. Engle, Clive W. J. Granger +1 more
Journal of Monetary EconomicsTrends, random walks, and tests of the permanent income hypothesis
210 Citations1985N. Gregory Mankiw, Matthew D. Shapiro
Journal of the American Statistical AssociationTesting for the Constancy of Parameters Over Time
207 Citations1989Jukka Nyblom
Modelling Seasonality
205 Citations1992
Journal of Time Series AnalysisNONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
194 Citations1991Clive W. J. Granger, Jeff Hallman
Journal of Economic Dynamics and ControlTesting for cointegration using principal components methods
191 Citations1988P. C. B. Phillips, Sam Ouliaris
Journal of the American Statistical AssociationTesting for Unit Roots in Seasonal Time Series
186 Citations1984David A. Dickey, D. P. Hasza +1 more
Journal of EconometricsThe Japanese consumption function
184 Citations1993Robert F. Engle, Clive W. J. Granger +2 more
The Economic JournalCointegration and Error Correction Mechanisms
177 Citations1989Svend Hylleberg, Grayham E. Mizon
The Review of Economic StudiesAn Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
169 Citations1980Grayham E. Mizon, David F. Hendry
Oxford Bulletin of Economics and StatisticsTESTING INTEGRATION AND COINTEGRATION: AN OVERVIEW
162 Citations1992Anindya Banerjee, David F. Hendry
Oxford Bulletin of Economics and StatisticsDYNAMIC SPECIFICATION AND COINTEGRATION*
157 Citations1992Peter Boswijk, Philip Hans Franses
Bulletin of the London Mathematical SocietyPROBABILITY AND RANDOM PROCESSES
142 Citations1983Richard L. Smith
Journal of Monetary EconomicsOn low-frequency estimates of long-run relationships in macroeconomics
142 Citations1984Bennett T. McCallum
The Annals of StatisticsTesting for Nonstationary Parameter Specifications in Seasonal Time Series Models
129 Citations1982David P. Hasza, Wayne A. Fuller
Journal of Economic Dynamics and ControlCommon nonstationary components of asset prices
123 Citations1988Peter Bossaerts
Contemporary mathematics - American Mathematical SocietyMultiple regression with integrated time series
103 Citations1988Peter C.B. Phillips
The Annals of StatisticsThe Limiting Distribution of the Autocorrelation Coefficient under a Unit Root
95 Citations1993Karim M. Abadir
Journal of Policy ModelingTests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom
82 Citations1992John E. Hunter
Brazilian Review of EconometricsPc-Give and David Hendry'S Econometric Methodology
78 Citations1990Neil R. Ericsson, Julia Campos +1 more
Journal of EconometricsTesting the autoregressive parameter with the t statistic
70 Citations1985John C. Nankervis, N. E. Savin
Journal of the American Statistical AssociationAsymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
63 Citations1988P. C. B. Phillips, Joon‐Young Park
Economics LettersA note on the distribution of the least squares estimator of a random walk with drift
62 Citations1989Svend Hylleberg, Grayham E. Mizon
BiometrikaA Canonical Analysis of Multiple Time Series
61 Citations1977George E. P. Box, George C. Tiao
The Economic JournalInterpreting Long-Run Equilibrium Solutions in Conventional Macro Models: A Comment
61 Citations1988David F. Hendry, Adrian J. Neale
Journal of Applied EconometricsThe effect of parameter uncertainty on forecast variances and confidence intervals for unit root and trend stationary time‐series models
56 Citations1991Michael Sampson
Econometric TheoryFinite Sample Distributions of<i>t</i>and<i>F</i>Statistics in an AR(1) Model with Anexogenous Variable
52 Citations1987John C. Nankervis, N. E. Savin
Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom
36 Citations1985Neil R. Ericsson, David F. Hendry
Economics LettersOver-rejections in rational expectations models
34 Citations1991Bryan Campbell, Jean‐Marie Dufour
Oxford Economic PapersTESTS OF THE LIFE CYCLE-PERMANENT INCOME HYPOTHESIS IN THE PRESENCE OF RANDOM WALKS: ASYMPTOTIC THEORY AND SMALL-SAMPLE INTERPRETATIONS *
32 Citations1988Anindya Banerjee, Juan J. Dolado
The Economic JournalA Cautionary Note on the Interpretation of Long-Run Equilibrium Solutions in Conventional Macro Models
23 Citations1985Christopher Kelly
Economics LettersRejections of orthogonality in rational expectations models
20 Citations1987John W. Galbraith, Juan J. Dolado +1 more
Economics LettersDo we reject rational expectations models too often?
18 Citations1987Anindya Banerjee, Juan J. Dolado
Economics LettersOrthogonality tests with de-trended data
14 Citations1990Anindya Banerjee, Juan J. Dolado +1 more
RePEc: Research Papers in EconomicsEstimation and Inference in Econometrics
13 Citations1993Russell Davidson, James G. MacKinnon
…
