Testing for unit roots
Economics LettersPublished 1 January 1987
Andrew S. Downes, Hyginus Leon
Citations205
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
This paper compares some recent tests for unit roots in observed time series data. The results indicate some sensitivity to lag truncation and the alternative maintained hypothesis. A procedure is recommended for using the Dickey–Fuller tests.
Keywords
Economics, Econometrics and Finance
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