A selective review on the issue of testing for a unit autoregressive root

In the recent few years an increasing effort has been made to establish reliable testing procedures todetermine whether or not an observed time series is generated by a unit autoregressive root process. Thispaper presents in a selective manner some of the most common and widely used test statistics for testingfor a unit autoregressive root and evaluates the performance of these test statistics in moderately largesamples.