Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/28021
Authors: 
Wolters, Jürgen
Hassler, Uwe
Year of Publication: 
2005
Series/Report no.: 
Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin 2005/23
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

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