On the Theory and Application of the Ng-Perron Unit Root Test——the Stationary Analyses of the China's Macroeconomics Series

Combining the GLS de-trending and modified PP test and feasible point optimal test,Ng and Perron(2001) developed the MGLS statistics used to test the unit root.Comparing with the conventional PP test and ADF test,the statistics have more power and better size,which is worth popularizing in the actual analysis.However,there is less applied in the known literatures.We systemically analyze and describe the Ng-Perron unit root test in both theoretical way and applicational.What's more,by the test,we research the stationary of the series of the nominal GDP,real GDP and real interest rate.Through our analyses,we hope the use of the Ng-Perron unit root test can be standardized and more widely used in the empirical analyses.