IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v57y1995i4p559-71.html
   My bibliography  Save this article

Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions

Author

Listed:
  • Leybourne, S J

Abstract

This article suggests a simple test for the null hypothesis that a process contains a unit root against a (trend) stationary alternative. It is based on the maximum value of the standard Dickey-Fuller tests when applied to both the forward and reverse data realizations. Thus, it requires no special computation and can easily be calculated from most existing econometric software packages. The null distribution of the maximum test is tabulated using Monte Carlo simulation and it is demonstrated to have considerably more power to reject the false null of a unit root than the standard Dickey-Fuller test. The tests are also shown to share very similar robustness properties. When applied to a number of well known U.S. macroeconomics time series, the new test rejects the unit root hypothesis more frequently than does the usual Dickey-Fuller test. Copyright 1995 by Blackwell Publishing Ltd

Suggested Citation

  • Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-571, November.
    • Handle: RePEc:bla:obuest:v:57:y:1995:i:4:p:559-71
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:57:y:1995:i:4:p:559-71. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.