On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
分析了持久周期对菲利普斯-佩龙半参数单位根检验的影响，发现复杂（近）单位根会严重扭曲检验的规模性质，建议应用者在处理强周期数据时谨慎对待检验结果。
Abstract In this paper, we analyse the impact of persistent cycles on the well‐known semi‐parametric unit root tests of Phillips and Perron (1988, Biometrika , Vol. 75, pp. 335–346). It is shown, both analytically and through Monte Carlo simulations, that the presence of complex (near) unit roots can severely bias the size properties of these tests. Given the popularity of these tests with applied researchers and their routine presence in most econometric software packages, the results presented in this paper suggest that practitioners should treat the outcomes of these tests with some caution when applied to data which display a strong cyclical component.