G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

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Journal of Monetary Economics, 20 (July 1987) 73-103

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Tests for unit roots in autoregressive models (tests for stationarity) are popular in the macroeconomics literature. Monte Carlo experiments in Schwert [1987] show that unit root tests derived for pure autoregressive processes have different sampling distributions when the true process is a mixed autoregressive-integrated moving average (ARIMA) process. Tests suggested by Said and Dickey [1984,1985], Phillips [1987], Phillips and Perron [1986] and Dickey and Fuller [1979,1981] are applied to a variety of monthly and quarterly macroeconomic time series to illustrate the effects of ARIMA model specification on inferences about stationarity.

Key words: Unit root, Stationarity, ARIMA, Volatility

JEL Classifications: C22

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Cited 250 times in the SSCI through 2007

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© Copyright 1987, Elsevier

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