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The Limiting Distribution of the t Ratio Under a Unit Root

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  • Abadir, Karim M.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 04 (August)
Pages: 775-793

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Handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:775-793_00

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Cited by:
  1. John Nixon, . "Convergence Analysis of Health Care Expenditure in the EU Countries Using Two Approaches," Discussion Papers 99/3, Department of Economics, University of York.
  2. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009. "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers esdp09055, University of Molise, Dept. EGSeI.
  4. K Abadir & W Distaso, . "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
  5. 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.
  6. Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
  7. Patrick Richard, 2007. "ARMA Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised Jul 2009.
  8. Rolf Larsson, 1998. "The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process," Annals of the Institute of Statistical Mathematics, Springer, vol. 50(1), pages 29-48, March.
  9. Marcus J. Chambers, 2013. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Economics Discussion Papers 727, University of Essex, Department of Economics.

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