Testing for the Order of Integration
This chapter is the first in which the theoretical aspects laid out in Part I of the book are put into “practice.” We begin by introducing the most commonly employed unit root tests in econometrics: the Dickey-Fuller test and its extensions. To discriminate between trend- and difference-stationary time series processes, a sequential testing strategy is described. Other unit root tests encountered in applied research are presented in the ensuing sections.
KeywordsUnit Root Unit Root Test Gross National Product Integration Order KPSS Test
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