{"doi":"10.1093/biomet/75.2.335","title":"Testing for a unit root in time series regression","abstract":"This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey & Fuller. Simulations are reported on the performance of the new tests in finite samples.","journal":"Biometrika","year":1988,"id":4674,"datarank":24.906819520851254,"base_score":9.787796078039936,"endowment":9.787796078039936,"self_citation_contribution":1.4681694117059905,"citation_network_contribution":23.438650109145264,"self_endowment_contribution":1.4681694117059905,"citer_contribution":23.438650109145264,"corpus_percentile":98.4,"corpus_rank":554,"citation_count":17814,"citer_count":185,"citers_with_citation_signal":185,"citers_with_endowment":185,"datacite_reuse_total":0,"is_dataset":false,"is_oa":false,"file_count":0,"downloads":0,"has_version_chain":false,"published_date":"1988-01-01","authors":[{"id":32283,"name":"Pierre Perron","orcid":null,"position":1,"is_corresponding":false},{"id":49494,"name":"Peter C.B. Phillips","orcid":"0000-0003-2341-0451","position":2,"is_corresponding":false},{"id":32284,"name":"Pierre Perrón","orcid":"0000-0001-6249-3574","position":3,"is_corresponding":false}],"reference_count":21,"raw_metadata":{"citation_network_status":"fetched"},"created_at":"2026-03-01T18:20:47.508186Z","pmid":null,"pmcid":null,"fwci":null,"citation_percentile":null,"influential_citations":0,"oa_status":null,"license":null,"views":0,"total_file_size_bytes":0,"version_count":0,"clinical_trials":[],"software_tools":[],"db_accessions":[],"linked_datasets":[],"topics":[]}