97-106

• Αγιακλόγλου, Χρήστος

This paper examines the behavior of the proposed by Bierens (1993) unit root test based on the sample autocorrelations when the true generating process contains one moving average term. The performance of the test is investigated first by applying the test to the means of the sample autocorrelations obtained as a ratio of two quadratic forms in normal deviates and second by using a Monte Carlo study to support the previously obtained theoretical results.

• Economics and Business
• Computer and information sciences

• Economics
• Statistics

econometrics

Περιέχει πίνακες και βιβλιογραφία, I would like to thank Professor Paul Newbold for his useful comments and suggestions and Professor Anil Bera for his critical remarks. My thanks also to the anonymous referee.