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Biometrika 1996 83(4):944-949; doi:10.1093/biomet/83.4.944
© 1996 by Biometrika Trust
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MISCELLANEA

Some properties of exact tests for unit roots

ALOK BHARGAVA

Department of Economics, University of Houston Houston, Texas 77204-5882, U.S.A.

This paper is concerned with the null hypothesis that errors in a regression equation for time series data follow a random walk. We examine the power properties of most powerful invariant tests for the unit root null hypotheses against exact stationary and nonstationary first order autoregressive models. The analysis shows the importance of a constant term and a linear trend variable in certain cases. The implications of the results for models estimated using seasonal data are briefly discussed.

Key Words: Autoregressive model • Exact stationary and nonstationary densities • Most powerful invariant test • Seasonal time series • Unit root


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