Tests For Unit Roots: A Monte Carlo Investigation /
Schwert, G. William.
Tests For Unit Roots: A Monte Carlo Investigation / G. William Schwert. - Cambridge, Mass. National Bureau of Economic Research 1988. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0073 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0073. .
December 1988.
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller (1979, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).
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Tests For Unit Roots: A Monte Carlo Investigation / G. William Schwert. - Cambridge, Mass. National Bureau of Economic Research 1988. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0073 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0073. .
December 1988.
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller (1979, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.