Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Monetary Economics, 20 (July 1987) 73-103
Tests for unit roots in autoregressive models (tests for stationarity) are
popular in the macroeconomics literature. Monte Carlo experiments in
Schwert [1987] show that unit root tests derived for pure autoregressive
processes have different sampling distributions when the true process
is a mixed autoregressive-integrated moving average (ARIMA) process. Tests
suggested by Said and Dickey [1984,1985], Phillips [1987], Phillips and
Perron [1986] and Dickey and Fuller [1979,1981] are applied to a variety
of monthly and quarterly macroeconomic time series to illustrate the
effects of ARIMA model specification on inferences about stationarity.
Key words: Unit root, Stationarity, ARIMA, Volatility
JEL Classifications: C22
Cited 167 times in the SSCI through April 1996
© Copyright 1987, Elsevier
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