Modified Stationarity Tests With Data-Dependent Model-Selection Rules

Stephen J. Leybourne · B. P. M. HcCabe

55 citations0/0 files storedJournal of Business and Economic Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Unemployment and Economic Growth Diverse Scientific and Economic Studies

Abstract

We describe some simple methods for improving the performance of stationarity tests (i.e., tests that have a stationary null and a unit-root alternative). Specifically, we increase the rate of convergence of the test under the unit-root alternative from O p(T) to O p (T 2), then suggest an optimal method of selecting the order of the autoregressive component in the fitted autoregressive integrated moving average model on which the test is based. Simulation evidence suggests that these modifications work well. We apply the modified procedure to U.S. monthly macroeconomic data and uncover new evidence of a unit root in unemployment.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 55 citations exist upstream.

References

1977Time Series Analysis: Forecasting and Control 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1994Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection 1987Effects of model specification on tests for unit roots in macroeconomic data 2000Export-led growth: a survey of the empirical literature and some non-causality results. Part 1 1994A Consistent Test for a Unit Root 1999Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results

Cited by

2003Spatial Market Arbitrage and Threshold Cointegration 2010Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship 2004Tests for Stationarity in Series with Endogenously Determined Structural Change*2002Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?2001Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875–1993

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.