Effects of Model Specification on Tests for
Unit Roots in Macroeconomic Data
G. William Schwert
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Monetary Economics, 20 (July 1987) 73-103
Tests for unit roots in autoregressive models (tests for stationarity)
are popular in the macroeconomics literature. Monte Carlo experiments in Schwert
[1987] show that unit root tests derived for pure autoregressive processes
have different sampling distributions when the true process is a mixed autoregressive-integrated
moving average (ARIMA) process. Tests suggested by Said and Dickey [1984,1985],
Phillips [1987], Phillips and Perron [1986] and Dickey and Fuller [1979,1981]
are applied to a variety of monthly and quarterly macroeconomic time series
to illustrate the effects of ARIMA model specification on inferences about
stationarity.
Key words: Unit root, Stationarity, ARIMA, Volatility
JEL Classifications: C22
Cited 431 times in the SSCI and SCOPUS through 2020
© Copyright 1987, Elsevier
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