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Testing for a Unit Root

Published 27 May 1993
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David F. Hendry
Citations879

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