A selective review on the issue of testing for a unit autoregressive root

Abstract

In the recent few years an increasing effort has been made to establish reliable testing procedures to
determine whether or not an observed time series is generated by a unit autoregressive root process. This
paper presents in a selective manner some of the most common and widely used test statistics for testing
for a unit autoregressive root and evaluates the performance of these test statistics in moderately large
samples.