Testing for a unit root in time series regression

作者：Peter C.B. Phillips, Pierre Perrón · 发表于：Biometrika · 年份：1988 · DOI：10.1093/biomet/75.2.335 · 被引用次数：18268 · 研究领域：Complex Systems and Time Series Analysis、Financial Risk and Volatility Modeling、Monetary Policy and Economic Impact

This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey & Fuller. Simulations are reported on the performance of the new tests in finite samples.