PLACE:  1104 Gilman

SPEAKER:

Professor Sastry G. Pantula
Department of Statistics, North Carolina State University

TITLE:

Unit Root Tests:  Past, Present and Future

ABSTRACT:

Unit root tests in time series analysis have received considerable attention
since the seminal work of Dickey and Fuller (1976).  In this talk, some of
the existing unit root test criteria will be reviewed.
Size, power and robustness to model misspecification of various unit root
test criteria will be discussed. More recent work on unit root tests where
the alternative hypothesis is a unit root process will be discussed.
Tests for trend stationarity versus difference stationary models will be
discussed briefly.  Current work on unit root test criteria will also be discussed.
Examples of unit root time series and future directions in unit root hypothesis
testing will be presented.
 
 

COFFEE:  3:45 p.m., 104 Snedecor Hall