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Tests for Unit Roots: A Monte Carlo Investigation | Synapse

April 1, 1989Open Access

Tests for Unit Roots: A Monte Carlo Investigation

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Resumen

Recent work by Said and Dickey(1964,1965). t'hillips (1957). and Phillips end Monte Carlo experisents show that these unit root tests have different finite sample distributions than the unit root tests developed by In particular, the tests developed by Phillips(1987) and

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Cite This Study

G. William Schwert (Sat,) studied this question.

synapsesocial.com/papers/6a0fae479e54838161fd0b6d https://doi.org/https://doi.org/10.1080/07350015.1989.10509723

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Also Consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

1Effects of model specification on tests for unit roots in macroeconomic data1987 · 652 citations
2Testing for unit roots in autoregressive-moving average models of unknown order1984 · 3,220 citations
3The behaviour of the sample autocorrelation function for an integrated moving average process1973 · 71 citations
4Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach1986 · 80 citations
5Introduction to Statistical Time Series.1977 · 2,309 citations