A Primer on Unit Root Testing

48 Pages Posted: 8 May 2006

See all articles by . Phillips

. Phillips

affiliation not provided to SSRN

Zhijie Xiao

University of Illinois at Urbana-Champaign - Department of Economics

Abstract

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.

Suggested Citation

Phillips, . and Xiao, Zhijie, A Primer on Unit Root Testing. Journal of Economic Surveys, Vol. 12, pp. 423-470, December 1998. Available at SSRN: https://ssrn.com/abstract=881282 or http://dx.doi.org/10.1111/1467-6419.00064

. Phillips (Contact Author)

affiliation not provided to SSRN

No Address Available

Zhijie Xiao

University of Illinois at Urbana-Champaign - Department of Economics ( email )

410 David Kinley Hall
1407 W. Gregory
Urbana, IL 61801
United States
217-333-4520 (Phone)
217-244-6678 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
22
Abstract Views
731
PlumX Metrics