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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/64778

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.
URI: http://hdl.handle.net/2262/64778
ISSN: 00129984
Appears in Collections:Economic and Social Review Archive: Complete Collection 1969-
The Economic and Social Review, Vol. 27, No. 4, July, 1996

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