A note on the unit root test based on the sample autocorrelations

Abstract

This paper examines the behavior of the proposed by Bierens (1993) unit root test based on the
sample autocorrelations when the true generating process contains one moving average term. The performance
of the test is investigated first by applying the test to the means of the sample autocorrelations
obtained as a ratio of two quadratic forms in normal deviates and second by using a Monte Carlo study to
support the previously obtained theoretical results.