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A Primer on Unit Root Testing
Author(s) -
Phillips Peter C. B.,
Xiao Zhijie
Publication year - 1998
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/1467-6419.00064
Subject(s) - unit root , root (linguistics) , econometrics , simple (philosophy) , unit (ring theory) , unit testing , mathematical economics , computer science , statistical hypothesis testing , diversity (politics) , series (stratigraphy) , economics , mathematics , statistics , linguistics , epistemology , law , mathematics education , political science , philosophy , paleontology , software , biology , programming language
The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.