TESTING OF UNIT-ROOT AND OTHER NONSTATIONARY HYPOTHESES IN MACROECONOMIC TIME-SERIES

Recently proposed tests for unit root and other nonstationarity of Rob inson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (agai nst appropriate parametric alternatives), the null can be any member o f the I(d) class, and the null limit distribution is chi-squared. The conclusions vary substantially across the 14 series, and across differ ent models for the disturbances (which, also unusually, include the Bl oomfield spectral model). Overall, the consumer price index and money stock seem the most nonstationary, while industrial production and une mployment rate seem the closest to stationarity. (C) 1997 Elsevier Sci ence S.A.