Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/28021 
Year of Publication: 
2005
Series/Report no.: 
Diskussionsbeiträge No. 2005/23
Publisher: 
Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft, Berlin
Abstract: 
The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey and Fuller (1979). Reviewing this test and variants thereof we focus on the importance of modelling the deterministic component. In particular, we survey the growing literature on tests accounting for structural shifts. Finally, further applied aspects are addressed how to get the size correct and obtain good power at the same time.
Subjects: 
Dickey-Fuller
size and power
deterministic components
structural breaks
JEL: 
C22
Document Type: 
Working Paper

Files in This Item:
File
Size
197.72 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.