Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FIVE: Non-stationary Time Series

Chapter 17: Unit Root Testing

(1) Critical values for unit root tests

unit_critval.g
unit_critval.m
unit_critval.R

(2) United States GDP

unit_qusgdp.g unit_qusgdp.m unit_qusgdp.R

usgdp.txt usgdp.mat usgdp.dat

(3) Near Unit Root Processes

unit_nearunitroot.g
unit_nearunitroot.m
unit_nearunitroot.R

(4) Asymptotic Local Power

unit_asypower.g
unit_asypower.m
unit_asypower.R

(5) Asymptotic Power Envelope

unit_asypowerenv.g
unit_asypowerenv.m
unit_asypowerenv.R

(6) Critical Values and c in the Presence of a Trend Break

unit_cbar.g
unit_cbar.m
unit_cbar.R
unit_breakcv.g
unit_breakcv.m
unit_breakcv.R

(7) Phillips-Perron Test

unit_ppcv.g
unit_ppcv.m
unit_ppcv.R
unit_ppsim.g
unit_ppsim.m
unit_ppsim.R

(8) Unit Root Test Without Lags or Long-Run Variance

unit_breitung_size.g
unit_breitung_size.m
unit_breitung_size.R
unit_breitung_power.g
unit_breitung_power.m
unit_breitung_power.R

(9) Testing the Null Hypothesis of Stationarity

unit_kpss_cv.g
unit_kpss_cv.m
unit_kpss_cv.R
unit_kpssmc.g
unit_kpssmc.m
unit_kpssmc.R

(10) Union of Rejections tests

unit_urtau.g
unit_urtau.m
unit_urtau.R
unit_urbreak.g
unit_urbreak.m
unit_urbreak.R
unit_pow0.g
unit_pow0.m
unit_pow0.R

(11) Role of Initial Conditions and Union of Rejections

unit_poweru0.g
unit_poweru0.m
unit_poweru0.R
unit_powerOUR.g
unit_powerOUR.m
unit_powerour.R

(12) Unit Roots Tests of the Nelson and Plosser Data

unit_nelplos.g
unit_nelplos.m
unit_nelplos.R
nelson_plosser.dat
nelson_plosser.mat
nelson_plosser.Rdata