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Popularity of Unit Root Tests - A Review

Author

Listed:
  • Badri Narayan Rath
  • Vaseem Akram

    (Indian Institute of Technology Hyderabad, India)

Abstract

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular unit root tests developed since 2010 based on the number of citations. We observe from the literature that the most popular unit root test is the Narayan and Popp unit root test and the least popular test is the quantile nonlinear unit root test, mainly because it was developed only recently. The use and popularity of the recently developed unit root tests can be judged only after 5 to 10 years.

Suggested Citation

  • Badri Narayan Rath & Vaseem Akram, 2022. "Popularity of Unit Root Tests - A Review," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-5.
    • Handle: RePEc:ayb:jrnael:72
    DOI: 2022/06/16
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    References listed on IDEAS

    as
    1. Westerlund, Joakim, 2013. "Simple unit root testing in generally trending data with an application to precious metal prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 12-27.
    2. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    3. Haiqi Li & Sung Y. Park, 2018. "Testing for a unit root in a nonlinear quantile autoregression framework," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 867-892, September.
    4. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
    5. Aydin, Mucahit, 2019. "A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks," MPRA Paper 98693, University Library of Munich, Germany.
    6. Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 635-664, May.
    7. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
    8. Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 635-664, May.
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    More about this item

    Keywords

    citations; narayan and popp unit root test; unit root tests;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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