Popularity of Unit Root Tests: A Review

Abstract

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular unit root tests developed since 2010 based on the number of citations. We observe from the literature that the most popular unit root test is the Narayan and Popp unit root test and the least popular test is the quantile nonlinear unit root test, mainly because it was developed only recently. The use and popularity of the recently developed unit root tests can be judged only after 5 to 10 years.