A CONSISTENT TEST FOR A UNIT-ROOT

被引：151

作者：

LEYBOURNE, SJ ^{[1
]}

MCCABE, BPM ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA, FAC COMMERCE, VANCOUVER V6T 1Z2, BC, CANADA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1994年 / 12卷 / 02期

关键词：

ASYMPTOTIC DISTRIBUTION; AUTOREGRESSIVE INTEGRATED MOVING AVERAGE MODEL; BROWNIAN MOTION; CONSISTENCY; MACROECONOMIC TIME SERIES; MONTE-CARLO SIMULATION;

D O I：

10.2307/1391480

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis, and the alternative is a unit-root process. The test is shown to be consistent, and its asymptotic null distribution is determined. Our findings contrast sharply with those obtained via the standard unit-root tests.

引用

页码：157 / 166

页数：10

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