Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
重新检验了Nelson和Plosser（1982）关于宏观经济时间序列存在单位根的证据，使用小样本分布和特定模型发现单位根检验无法区分不同持久性特征。
In their 1982 article, C. R. Nelson and C. I. Plosser provided evidence supporting the existence of an autoregressive unit root in a variety of macroeconomic time series. The author reexamines their evidence using small-sample distributions for various unit root test statistics. These distributions are calculated from specific null and alternative models (including median-unbiased models that correct for OLS coefficient bias) estimated from the data. Contrary to earlier assertions, the null and alternative models of many macroeconomic series provide very different characterizations of persistence but cannot be distinguished with unit root tests. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.