This paper presents compelling evidence against the null hypothesis of a unit
root in series such IMACEC, consumption or GDP for the Chilean economy.
This evidence builds on results derived by Chumacero (2000) that show that
when the scale variable is difference stationary, the returns on assets should
present a behavior that is not supported by the data. Thus, care should be taken
when using econometric models that impose unit roots based on traditional
tests.
Chumacero, R. (2016). Se busca una raíz unitaria: evidencia para Chile. Estudios De Economía, 27(1), pp. 55–68. Retrieved from https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/40760
