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Tests For Unit Roots: A Monte Carlo Investigation / G. William Schwert.
- Format:
- Book
- Author/Creator:
- Schwert, G. William.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0073.
- NBER technical working paper series no. t0073
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Tests For Unit Roots
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Summary:
- 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 (ARIHA) 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, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).
- Notes:
- Print version record
- December 1988.
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