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2018
A process might be non-stationary without being a unit root. The two concepts are related, but they are not identical and it is common to confuse the two. We can have non-stationarity without it being due to a unit root. We could have a seasonal model. Or, we could have a deterministic trend.
John Levendis
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A process might be non-stationary without being a unit root. The two concepts are related, but they are not identical and it is common to confuse the two. We can have non-stationarity without it being due to a unit root. We could have a seasonal model. Or, we could have a deterministic trend.
John Levendis
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Allgemeines Statistisches Archiv, 2006 The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey and Fuller (1979).
Wolters, Jürgen, Hassler, Uwe
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Rank tests for unit roots [PDF]
Journal of Econometrics, 1997 Abstract In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d.
Breitung, Jörg, Gouriéroux, Christian
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UNIT ROOTS IN WHITE NOISE [PDF]
Econometric Theory, 2011 We show that the empirical distribution of the roots of the vector autoregression (VAR) of order p fitted to T observations of a general stationary or nonstationary process converges to the uniform distribution over the unit circle on the complex plane, when both T and p tend to infinity so that (ln T)/p → 0 and p3/T → 0.
Onatski, Alexei, Uhlig, Harald
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The Great Crash, The Oil Price Shock And The Unit Root Hypothesis
, 1989The unit root hypothesis is examined allowing a possible one-time change in the level or in the slope of the trend function. When fluctuations are stationary around a breaking trend function, standard tests cannot reject the unit root, even ...
Pierre Perron
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, 2008 Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic and financial time series. It therefore seems appropriate that this feature of the data be seriously addressed both in econometric methodology and in empirical practice. However, until recently this has not been the case.
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Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process [PDF]
SSRN Electronic Journal, 2008 In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR ...
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Unit-roots und Unit-root-Tests [PDF]
, 2001 Unit-roots und Kointegration sind zwei Gebiete der Zeitreihenanalyse, die seit einigen Jahren Gegenstand intensiver Forschungsarbeiten sind und enge Verbindungen zur Okonometrie aufweisen. In der Tat spricht man deshalb heute auch von einer ″time series econometrics″.
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Time series regression with a unit root
, 1987This paper studies the random walk in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least squares regression consistently estimates a unit root under very general ...
P. Phillips
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On time series with randomized unit root and randomized seasonal unit root
Computational Statistics & Data Analysis, 2003A time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of fixed unit roots against the alternative that the roots are random and fluctuate about the value of one. The testing problem is addressed via the score test approach.
Li, WK, Fong, PW
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