Title of article
On unit root tests in the presence of transitional growth
Author/Authors
Bernd Lucke، نويسنده , , Helmut Lütkepohl، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
5
From page
323
To page
327
Abstract
Standard unit root tests have incorrect size for series with transitional growth dynamics. From the Solow growth model, we derive that a unit root test by Lanne et al. [J. Time Ser. Anal. 23 (2002) 667] has approximately correct size, while Augmented Dickey–Fuller (ADF) tests are biased towards rejecting the null hypothesis.
Keywords
Unit root tests , Solow growth model , Transitional dynamics
Journal title
Economics Letters
Serial Year
2004
Journal title
Economics Letters
Record number
435487
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