The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Unit Roots

  • Peter C. B. Phillips
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2586

Abstract

Models with autoregressive unit roots play a major role in modern time series analysis and are especially important in macroeconomics, where questions of shock persistence arise, and in finance, where martingale concepts figure prominently in the study of efficient markets. The literature on unit roots is vast and applications of unit root testing span the social, environmental and natural sciences. The present article overviews the theory and concepts that underpin this large field of research and traces the originating ideas and econometric methods that have become central to empirical practice.

Keywords

ARCH models ARMA time-series processes Bayesian inference Bayesian statistics Bayesian time series analysis Bias reduction Break point analysis Classical statistics Cointegration Confidence intervals Efficient markets hypothesis Forecasting Functional central limit theorem GARCH models Integrated conditional heteroskedasticity models Lagrange multipliers Long-run variance Martingales Model selection Nonstationarity Polynomials Present value Probability Rational expectations business cycle models Real business cycles Spurious regressions Statistical inference Stochastic trends Term structure of interest rates Unit root distributions Unit roots Wiener process 
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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Peter C. B. Phillips
    • 1
  1. 1.