A critique of the application of unit root tests

DOI10.1016/0165-1889(91)90013-QzbMath0722.62060OpenAlexW2142506490MaRDI QIDQ756342

John H. Cochrane

Publication date: 1991

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

time seriespowerrandom walkautocorrelation functionsfinite sampleslikelihood functionsstationary seriestrend stationaritytest for unit rootsunit root processes

Mathematics Subject Classification ID

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

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Cites Work

• Unnamed Item
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• Testing for cointegration using principal components methods
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Common Trends
• Spurious Periodicity in Inappropriately Detrended Time Series
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Are Output Fluctuations Transitory?