Tests for Unit Roots
A Monte Carlo Investigation
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Business and Economic Statistics, 7 (April 1989) 147-159
Recent work by Said and Dickey [1984,1985], Phillips [1987], and Phillips and Perron [1988]
examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average
(ARIMA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have
different finite sample distributions than the unit root tests developed by Fuller [1976] and Dickey and
Fuller [1979,1981] for autoregressive processes. In particular, the tests developed by Phillips [1987] and
Phillips and Perron [1988] seem more sensitive to model misspecification than the high order
autoregressive approximation suggested by Said and Dickey [1984].
Key words: Stationarity, ARIMA, Autoregressive, Moving average, Size
JEL Classifications: C22
Cited 151 times in the SSCI through April 1996
© Copyright 1989, American Statistical Association
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