NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Tests For Unit Roots: A Monte Carlo Investigation

G. William Schwert

NBER Technical Working Paper No. 73
Issued in December 1988
NBER Program(s):   ME

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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Document Object Identifier (DOI): 10.3386/t0073

Published: Journal of Business and Economic Statisticsvo. 7, no.2 pp147-159. April 1989.

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