The Limiting Distribution of the t Ratio Under a Unit Root
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 11 (1995)
Issue (Month): 04 (August)
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Other versions of this item:
- Abadir, K.M., 1992. "The Limiting Distribution of the T Ratio Under a Unit Root," Papers 1992-2, American Cairo - Economics and Political Sciences.
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- 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.
- 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.
- 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.
- Neil R. Ericsson & James G. MacKinnon, 1999.
"Distributions of error correction tests for cointegration,"
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655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- 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.
- Abadir, Karim M. & Distaso, Walter, 2007.
"Testing joint hypotheses when one of the alternatives is one-sided,"
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Elsevier, vol. 140(2), pages 695-718, October.
- 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.
- Franz K. Dietrich, 2001.
"The limiting distribution of the t-ratio for the unit root test in an AR(1),"
Royal Economic Society, vol. 4(2), pages 5.
- Dietrich, Franz K., 2001. "The limiting distribution of the t-ratio for the unit root test in an AR(1)," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15430, Maastricht University.
- 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.
- 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. SEGeS.
- 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.
- Dietrich, Franz, 2003. "Closed Analytical Forms and Numerical Approximation of Dickey-Fuller Probability Distributions," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15429, Maastricht University.
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