An ADF Coefficient Test for A Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy

Authors

Zhijie Xiao
Peter C.B. Phillips

Document Type

Discussion Paper

Publication Date

9-1-1997

CFDP Number

1161

CFDP Pages

18

Abstract

This paper proposes an ADF coefficient test for detecting the presence of a unit root in ARMA models of unknown order. Our approach is fully parametric. When the time series has an unknown deterministic trend, we propose a modified version of the ADF coefficient test based on quasi-differencing in the construction of the detrending regression as in Elliot, Rothenberg and Stock (1996). The limit distributions of these test statistics are derived. Empirical applications of these tests for common macroeconomic time series in the US economy are reported and compared with the usual ADF t -test.

Recommended Citation

Xiao, Zhijie and Phillips, Peter C.B., "An ADF Coefficient Test for A Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy" (1997). Cowles Foundation Discussion Papers. 1409.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1409