The University of Dublin | Trinity College -- Ollscoil Átha Cliath | Coláiste na Tríonóide
Trinity's Access to Research Archive
Home :: Log In :: Submit :: Alerts ::

Economic and Social Review >
Economic and Social Review Archive: Complete Collection 1969- >

Please use this identifier to cite or link to this item:

Title: Geary's count of sign changes as a test of unit roots: some further evidence
Author: Murphy, Anthony
Geary, R. C.
Keywords: Count of sign changes
Unit roots
Quantitative methods
Issue Date: 1996
Publisher: Economic & Social Research Institute
Citation: Murphy, Anthony. 'Geary's count of sign changes as a test of unit roots: some further evidence'. - Economic & Social Review, Vol. 27, No. 4, July, 1996, pp. 389-396, Dublin: Economic & Social Research Institute
Abstract: In a recent issue of this journal, Honohan (1996) examined the perperformance of Geary's (1970) count of sign changes or x test as a test of unit roots. The test is based on counting the number of times the plot of a series crosses the trend line joining the first and last observations. The null hypothesis of a unit root is rejected when the number of crossings is "large". Honohan argues that the sign change test is a useful informal test mainly because of its simplicity — it can be calculated by hand and the 95 per cent critical values may be approximated by twice the square root of t he sample size. In the abstract to his paper, Honohan suggests that, despite its simplicity, the test has surprisingly good power.
ISSN: 00129984
Appears in Collections:Economic and Social Review Archive: Complete Collection 1969-
The Economic and Social Review, Vol. 27, No. 4, July, 1996

Files in This Item:

File Description SizeFormat
27 jul 96 murphy.pdfPublished (publisher's copy) - Peer Reviewed332.14 kBAdobe PDFView/Open

This item is protected by original copyright

Please note: There is a known bug in some browsers that causes an error when a user tries to view large pdf file within the browser window. If you receive the message "The file is damaged and could not be repaired", please try one of the solutions linked below based on the browser you are using.

Items in TARA are protected by copyright, with all rights reserved, unless otherwise indicated.


Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback