Testing for Unit Roots: What Should Students Be Taught?

Journal of Economic Education, Vol. 32, No. 2, pp. 137-146, 2001

Posted: 12 May 2010 Last revised: 21 Dec 2010

See all articles by John Elder

John Elder

Colorado State University

Peter E. Kennedy

Simon Fraser University (SFU) - Department of Economics

Date Written: May 1, 2001

Abstract

Unit-root testing strategies are unnecessarily complicated because they do not exploit prior knowledge of the growth status of the time series, they worry about unrealistic outcomes, and they double- or triple-test for unit roots. The authors provide a testing strategy that cuts through these complications and so facilitates teaching this dimension of the unit-root phenomenon. F tests are used as a vehicle for understanding, but t tests are recommended in the end, consistent with common practice.

Keywords: teaching econometrics, unit roots

JEL Classification: A22, A23, C22

Suggested Citation

Elder, John and Kennedy, Peter E., Testing for Unit Roots: What Should Students Be Taught? (May 1, 2001). Journal of Economic Education, Vol. 32, No. 2, pp. 137-146, 2001, Available at SSRN: https://ssrn.com/abstract=1604747

John Elder (Contact Author)

Colorado State University ( email )

Dept of Finance & Real Estate
1272 Campus Delivery
Fort Collins, CO 80523
United States
970-491-2952 (Phone)

HOME PAGE: http://lamar.colostate.edu/~jelder

Peter E. Kennedy

Simon Fraser University (SFU) - Department of Economics ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada
604-291-4516 (Phone)

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