Document Type
Discussion Paper
Publication Date
5-1-1991
CFDP Number
979
CFDP Pages
28
Abstract
The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null hypothesis is accepted unless there is strong evidence against it. Therefore, an alternative explanation for the common failure to reject a unit root is simply that most economic time series are not very informative about whether or not there is a unit root; or, equivalently, that standard unit root tests are not very powerful against relevant alternatives.
Recommended Citation
Kwiatkowski, Denis; Phillips, Peter C.B.; and Schmidt, Peter, "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?" (1991). Cowles Foundation Discussion Papers. 1222.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1222