A critique of the application of unit root tests

DOI10.1016/0165-1889(91)90013-QMaRDI QIDQ756342zbMATH OpenOpenAlexFDO

Authors John H. Cochrane

Publication date 1991

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(91)90013-q

zbMATH Keywords

random walkpowertime seriesautocorrelation functionsfinite sampleslikelihood functionsstationary seriestrend stationaritytest for unit rootsunit root processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• A comparison of alternative unit root tests
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• A new approach to unit root testing
• On testing for unit roots and the initial observation

Cites work

• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• Are output fluctuations transitory?
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Multivariate estimates of the permanent components of GNP and stock prices
• Spurious Periodicity in Inappropriately Detrended Time Series
• Testing for Common Trends
• Testing for cointegration using principal components methods
• Testing for unit roots in autoregressive-moving average models of unknown order
• Time Series Regression with a Unit Root

Cited in

(17)

• Structural change and unit roots
• Estimating and testing rational expectations models when the trend specification is uncertain.
• scientific article; zbMATH DE number 7578299 (Why is no real title available?)
• The stylized approach to unit root testing: Neglected contributions and the cost of simplicity
• UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Exploiting ergodicity in forecasts of corporate profitability
• Unit root test combination via random forests
• Business cycle analysis without much theory: A look at structural VARs
• Spectral approach to parameter-free unit root testing
• No unit root conditions for bivariate series when a component univariate series has a unit root
• A time series paradox: unit root tests perform poorly when data are cointegrated
• On unit root tests in the presence of transitional growth
• Asset prices with non-permanent shocks to consumption
• Are taxes too low?
• Tapered block bootstrap for unit root testing

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