6533b86cfe1ef96bd12c87d6

RESEARCH PRODUCT

Une stratégie de test de la racine unitaire

Cem Ertur

subject

Racine unitaireMathématiquesStratégie de testStatistics[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST]Operations researchTest strategy[MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]MathematicsSéries chronologiques

description

This paper compares three approaches of the unit root testing strategy issue : i.e. the DICKEY, BELL and MILLER (1986) approach, elaborated for prevision purposes, which advocates the estimation of a model without trend at the outset, in opposition to the PERRON (1988) and HENIN and JOBERT (1990) testing strategies. The latter is undoubtedly operational in empirical works but it doesn’t encompass joint tests explicitly. We then suggest an unifiedgeneral framework embracing the last two appoaches and giving a practical scheme which is as complete and operational as possible. The behaviour of these strategies is assesed in an empirical study of the seasonaly adjusted real GDP in France and an economic interpretation of the results is proposed.

yearjournalcountryeditionlanguage
1991-01-01
https://hal.science/hal-01542276