Year: 1988
Type: report
Abstract: Recent work by Said and Dickey(1964,1965).t'hillips(1957).and Phillips end Perron(1988) esslEines tests for unit roots in the autoregressive part of ndxed autoregressive-integrated-sioving average (ARIMA) models (tests for stationerity).Monte Carlo experisents show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller(1979,198i) for autoregressive processes.In particular, the tests developed by Phillips(1987) and Phillips and Perron(1988) seem more sensitive to usodel stespecification thsn the high order autoregressive approxi.Estioo suggested by Said and Dickey(1984).
DOI: 10.3386/t0073
Author: G. William Schwert
Institution: University of Rochester
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3123946376