La verifica dell'ipotesi di non stazionarietà nelle serie temporali

Abstract

Classical asymptotic theory cannot be applied to the estimation of nonstazionary autoregressive processes. Unit-root tests have been developed by Fuller (1976), and Dickey and Fuller (1979,1981). Later contributions by Evans and Savin (1981,1984), Sargan and Bargawa (19839, and Phillips (1987a,1987b,1988) have developed a new asymptotic theory for integreted stochastic processes. However, the application to economic time series appears to be unable to discriminate between stochastic and deterministic trends, as both can be nested in a model whose empirical characteristics can hardly be distinguished on a pure statistical ground, due to the low power of the tests and to the small samples that are available.