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A Distribution Generating Equation for Unit-Root Statistics

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  • Abadir, Karim M

Abstract

A unified framework to derive the distribution of conventional statistics under a unit root is presented. It is based on formulae which can generate (analytically as well as numerically) the densities and distributions of statistics such as the t ratio, the normalized autocorrelation coefficient, and many more. The name density (or distribution) generating equation is given to these formulae. As a practical example, the numerical and analytical aspects of the distribution of the t ratio under a unit root are discussed. Suggestions for further applications and extensions of these formulae are also given. Copyright 1992 by Blackwell Publishing Ltd

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 54 (1992)
Issue (Month): 3 (August)
Pages: 305-23

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Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:305-23

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Cited by:
  1. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
  2. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
  3. Karim M. Abadir & André Lucas, . "A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model," Discussion Papers 00/21, Department of Economics, University of York.
  4. Hendrik P. van Dalen & Kene Henkens, 2000. "What makes a Scientific Article influential?," Tinbergen Institute Discussion Papers 00-032/1, Tinbergen Institute.
  5. Karim M. Abadir & Andre Lucas, 2000. "A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model," Tinbergen Institute Discussion Papers 00-033/4, Tinbergen Institute.

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