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Exact Similar Tests for Unit Roots and Cointegration

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  • Kiviet, Jan F
  • Phillips, Garry D A

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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: 349-67

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Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:349-67

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Cited by:
  1. Haug, Alfred A., 1996. "Tests for cointegration a Monte Carlo comparison," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 89-115.
  2. Vougas, Dimitrios V., 2006. "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, Elsevier, vol. 76(1), pages 27-34, January.
  3. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics, EconWPA 0402007, EconWPA, revised 18 Mar 2004.
  4. Ralf Ostermark & Rune Hoglund, 1999. "Simulating competing cointegration tests in a bivariate system," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(7), pages 831-846.
  5. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 39-68, January.
  6. Rune Höglund & Ralf Östermark, 2003. "Size and power of some cointegration tests under structural breaks and heteroskedastic noise," Statistical Papers, Springer, Springer, vol. 44(1), pages 1-22, January.
  7. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 187-220, January.
  8. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 5(2), pages 285-318, 06.
  9. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 325-353, October.
  10. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
  11. van Giersbergen, Noud P. A., 2003. "A note on bootstrapping unit root tests in the presence of a non-zero drift," Economics Letters, Elsevier, Elsevier, vol. 78(2), pages 259-265, February.
  12. Makrydakis, S. & Tzavalis, E. & Balfoussias, A., 1996. "Policy Regime Changes and the Long-Run Sustainability of Fiscal Policy: An Application to Greece," Discussion Papers, Exeter University, Department of Economics 9601, Exeter University, Department of Economics.
  13. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
  14. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, Elsevier, vol. 91(2), pages 201-226, August.

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