Document Type
Discussion Paper
Publication Date
6-1-1988
CFDP Number
880
CFDP Pages
40
Abstract
This paper develops statistics for detecting the presence of a unit root in time series data against the alternative stationarity. Unlike most existing procedures, the new tests allow for deterministic trend polynomials in the maintained hypothesis. They may be used to discriminate between unit root nonstationarity and processes which are stationary around a deterministic polynomial trend. The tests allow for both forms of nonstationarity under the null hypothesis. Moreover, the tests allow for a wide class of weakly dependent and possibly heterogenously distributed procedures. We illustrate the use of the new tests by applying them to a number a models of macroeconomic behavior.
Recommended Citation
Ouliaris, Sam; Park, Joon Y.; and Phillips, Peter C.B., "Testing for a Unit Root in the Presence of a Maintained Trend" (1988). Cowles Foundation Discussion Papers. 1124.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1124