Modified Stationarity Tests With Data-Dependent Model-Selection Rules
作者： S. J. Leybourne , B. P. M. HcCabe
DOI: 10.1080/07350015.1999.10524816
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摘要: We describe some simple methods for improving the performance of stationarity tests (i.e., that have a stationary null and unit-root alternative). Specifically, we increase rate convergence test under alternative from O p(T) to p (T 2), then suggest an optimal method selecting order autoregressive component in fitted integrated moving average model on which is based. Simulation evidence suggests these modifications work well. apply modified procedure U.S. monthly macroeconomic data uncover new unit root unemployment.
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