In the recent few years an increasing effort has been made to establish reliable testing procedures to
determine whether or not an observed time series is generated by a unit autoregressive root process. This
paper presents in a selective manner some of the most common and widely used test statistics for testing
for a unit autoregressive root and evaluates the performance of these test statistics in moderately large
samples.
(EN)
Social Sciences ▶ Economics and Business Econometrics
(EN)
University of Peiraeus
