Testing for Unit Roots: What Should Students Be Taught?
Journal of Economic Education, Vol. 32, No. 2, pp. 137-146, 2001
Posted: 12 May 2010 Last revised: 21 Dec 2010
Date Written: May 1, 2001
Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they double- or triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. F tests are used as a vehicle for understanding, but t tests are recommended in the end, consistent with common practice.
Keywords: teaching econometrics, unit roots
JEL Classification: A22, A23, C22
Suggested Citation: Suggested Citation