A critique of the application of unit root tests

Author:

Cochrane John H.

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference24 articles.

1. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’;Beveridge;Journal of Monetary Economics,1981

2. On the impossibility of testing for unit roots and cointegration in finite samples;Blough;Johns Hopkins University working paper in economics no. 211,1988

3. Are output fluctuations transitory?;Campbell;Quarterly Journal of Economics,1987

4. Unit roots: Do we know and do we care?;Christiano;Carnegie-Rochester Conference Series on Public Policy,1990

5. How big is the random walk in GNP?;Cochrane;Journal of Political Economy,1988

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