A critique of the application of unit root tests

DOI10.1016/0165-1889(91)90013-QzbMATH Open0722.62060OpenAlexW2142506490MaRDI QIDQ756342FDOQ756342

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)

Cites Work

• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Time Series Regression with a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Common Trends
• Testing for cointegration using principal components methods
• Spurious Periodicity in Inappropriately Detrended Time Series
• Are Output Fluctuations Transitory?
• Multivariate estimates of the permanent components of GNP and stock prices

Cited In (12)

• Estimating and testing rational expectations models when the trend specification is uncertain.
• Structural change and unit roots
• Title not available (Why is that?)
• 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
• Asset prices with non-permanent shocks to consumption
• Are taxes too low?
• Tapered block bootstrap for unit root testing

Recommendations

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• On the stability of the unit root test 👍 👎
• A new approach to unit root testing 👍 👎
• The stylized approach to unit root testing: Neglected contributions and the cost of simplicity 👍 👎
• A comparison of alternative unit root tests 👍 👎
• Unit Root Tests and Heavy‐Tailed Innovations 👍 👎

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