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The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes

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Author Info
Nielsen, Bent

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Abstract

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 69 (2001)
Issue (Month): 1 (January)
Pages: 211-19
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Handle: RePEc:ecm:emetrp:v:69:y:2001:i:1:p:211-19

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  1. Ahlgren, Niklas & Nyblom, Jukka, 2005. "Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models," Working Papers 511, Hanken School of Economics.
  2. Katarina Juselius & Zorica Mladenovic, 2002. "High Inflation, Hyperinflation and Explosive Roots. The Case of Yugoslavia," Discussion Papers 02-23, University of Copenhagen. Department of Economics. [Downloadable!]
  3. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy. [Downloadable!]
    Other versions:
  4. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany. [Downloadable!]
  5. Bent Nielsen & J. James Reade, 2004. "Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression," Economics Papers 2004-W24, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  6. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Papers 2005-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  7. Lars Hougaard Hansen & Bent Nielsen & Jens Perch Nielsen, 2004. "Two sided analysis of variance with a latent time series," Economics Papers 2004-W25, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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