6533b7d7fe1ef96bd1268b03

RESEARCH PRODUCT

Test methodologies for the unitary root

Cem Ertur

subject

[SHS.STAT]Humanities and Social Sciences/Methods and statisticsstatisticshumanities social sciencessciences humaines et sociales[SHS.STAT] Humanities and Social Sciences/Methods and statisticstendance polynomialestratégie de test[ SHS.STAT ] Humanities and Social Sciences/Methods and statisticsoperations research

description

This paper provides a critical survey on unit root testing procedures frequently used in empirical literature. The importance of the hypothesis of linearity of the deterministic component is stressed because its misspecification may result in the false conclusion that the time series has a unit root. Testing strategies elaborated by Dickey, Bell and Miller (1986), Perron (1988) and Dolado, Jenkinson and Sosvilla-Rivero (1990) are compared and their limit is evaluated. An empirical testing strategy is then proposed and applied to the analysis of the nonstationarity exhibited by real GDP in France. We show that it is possible to find some flexible specifications that enable us to reject the unit root null hypothesis

yearjournalcountryeditionlanguage
1998-01-01
https://hal.science/hal-01527262