Title

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?

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.

This document is currently not available here.

Share

COinS