Unit root test: Difference between revisions

Revision as of 17:40, 3 July 2020

Revision as of 16:27, 22 October 2020

Line 18:

== Main tests ==

A commonly used test that is valid in large samples is the [[augmented Dickey–Fuller test]].<ref>{{Cite journal | doi = 10.1080/01621459.1979.10482531| title = Distribution of the estimators for autoregressive time series with a unit root| year = 1979| last1 = Dickey | first1 = D. A. | last2 = Fuller | first2 = W. A. | journal = [[Journal of the American Statistical Association]] | volume = 74| issue = 366a| pages = 427–431}}</ref> The optimal finite sample tests for a unit root in autoregressive models were developed by [[Denis Sargan]] and [[Alok Bhargava]],<ref>{{Cite journal | last1 = Sargan | first1 = J. D. | last2 = Bhargava | first2 = Alok | year = 1983 | title = Testing residuals from least squares regression for being generated by the Gaussian random walk | journal = [[Econometrica]] | volume = 51 | issue = 1 | pages = 153–174 | publisher = | jstor = 1912252 | doi= | url = | format = | accessdate = }}</ref> by extending the work by [[John von Neumann]], and [[James Durbin]] and [[Geoffrey Watson]]. In the observed time series cases, for example, Sargan–Bhargava statistics test the unit root null hypothesis in first order autoregressive models against one-sided alternatives, i.e., if the process is stationary or explosive under the alternative hypothesis.

Other popular tests include:

Line 34:

==References==

* {{Cite journal | last1 = Bhargava | first1 = A. | authorlink = Alok Bhargava| title = On the theory of testing for unit roots in observed time series | journal = [[The Review of Economic Studies]] | volume = 53 | issue = 3 | pages = 369–384 | doi = 10.2307/2297634 | jstor = 2297634| year = 1986 | pmid = | pmc = }}

*{{cite book |last=Bierens |first=H. J. |year=2001 |chapter=Unit roots |title=A Companion to Econometric Theory |editor-first=B. |editor-last=Baltagi |___location=Oxford |publisher=[[Blackwell Publishers]] |pages=610–633 }} [http://econ.la.psu.edu/~hbierens/UNITROOT.PDF "2007 revision"]

*{{cite book |last=Enders |first=Walter |title=Applied Econometric Time Series |publisher=[[John Wiley & Sons]] |year=2004 |edition=Second |pages=[https://archive.org/details/appliedeconometr00ende_0/page/170 170–175] |isbn=0-471-23065-0 |url-access=registration |url=https://archive.org/details/appliedeconometr00ende_0/page/170 }}