Concepedia

Unit Roots

Unit root is a stochastic property of a time series process in which the autoregressive coefficient equals one, implying non-stationarity and persistent long-memory effects that exhibit shocks with permanent impacts on its trajectory.

1.3K

Publications

265.5K

Citations

1.4K

Authors

776

Institutions

Publications per year

2017–2026

103

Variants

Unit Root

Parents

Publications

1.3K

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

, , +12

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

, , +16

Testing for unit roots in heterogeneous panels

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin · Journal of Econometrics · 2003 · 15K citations · Full text

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

, , +15

Unit root tests in panel data: asymptotic and finite-sample properties

Andrew Levin, Chien‐Fu Lin, Chia-Shang James Chu · Journal of Econometrics · 2002 · 12.7K citations

, , +13

1–5 of 1.3K

Authors

1.4K

  1. PC
    Peter C.B. Phillips

    Yale University, United States

    42 publications · 40K citations

    27

    h-index

  2. RT
    Robert Taylor

    University of Nottingham, United Kingdom

    38 publications · 1.8K citations

    24

    h-index

  3. PP
    Pierre Perrón

    Boston University, United States

    30 publications · 38.9K citations

    23

    h-index

  4. SJ
    Stephen J. Leybourne

    University of Nottingham, United Kingdom

    27 publications · 2.2K citations

    22

    h-index

  5. PH
    Philip Hans Franses

    Erasmus University Rotterdam, Netherlands

    18 publications · 941 citations

    15

    h-index

1–5 of 1.4K

Institutions

776

  1. University of Nottingham

    Nottingham, United Kingdom

    28 h-index

    71 publications

    5.4K citations

  2. Yale University

    New Haven, United States

    21 h-index

    27 publications

    35.2K citations

  3. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    19 h-index

    42 publications

    2.6K citations

  4. Université de Montréal

    Montreal, Canada

    19 h-index

    26 publications

    26.9K citations

  5. North Carolina State University

    Raleigh, United States

    17 h-index

    20 publications

    30K citations

  6. University of Southern California

    Los Angeles, United States

    16 h-index

    19 publications

    10K citations

  7. Aarhus University

    Aarhus, Denmark

    14 h-index

    17 publications

    1K citations

  8. University of Birmingham

    Birmingham, United Kingdom

    14 h-index

    19 publications

    1.3K citations

1–8 of 776

Venues

  1. Journal of Econometrics

    86 publications · 50.1K citations

    47

    h-index

  2. Econometric Theory

    88 publications · 6.1K citations

    41

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 61 publications · 10.1K citations

    37

    h-index

  4. Economics Letters

    61 publications · 5.7K citations

    32

    h-index

  5. Econometrica

    37 publications · 46K citations

    31

    h-index

1–5