G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

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Journal of Business and Economic Statistics, 7 (April 1989) 147-159
Reprinted as the lead article in the special 20th JBES Anniversary collection of influential papers.

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Recent work by Said and Dickey [1984,1985], Phillips [1987], and Phillips and Perron [1988] examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIMA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller [1976] and Dickey and Fuller [1979,1981] for autoregressive processes. In particular, the tests developed by Phillips [1987] and Phillips and Perron [1988] seem more sensitive to model misspecification than the high order autoregressive approximation suggested by Said and Dickey [1984].

Key words: Stationarity, ARIMA, Autoregressive, Moving average, Size

JEL Classifications: C22

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Cited 961 times in the SSCI and SCOPUS through 2020

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© Copyright 1989, American Statistical Association

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A full-text version of this paper, including tables and figures, is available in Acrobat's portable data format (.pdf).

Click here to download the reprint of the unit roots paper.

Click here to download the reprint of the unit roots paper from the special anniversary issue of the JBES.

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