Unit Root Tests

Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided. Classification-JEL: C22

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Year of publication:	1995-06
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Autoregressive unit root \| Brownian motion \| functional central limit theorem \| integrated process \| LM principle \| model selection \| moving average unit root \| nonstationarity \| quasi-differencing \| stationarity \| stochastic trend

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 944. Published in Samuel Kotz, ed., Encyclopedia of Statistical Sciences, Update Vol. 1, 1997, pp. 531-542 The price is None Number 1104 25 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005593489