Geary's count of sign changes as a test of unit roots: some further evidence
Geary, R. C.
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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
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.
Keywords:Count of sign changes
Publisher:Economic & Social Research Institute