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The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes

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  • Nielsen, Bent

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Bibliographic 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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Cited by:
  1. Bent Nielsen & J. James Reade, 2007. "Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 487-501.
  2. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  3. Ahlgren, Niklas & Nyblom, Jukka, 2005. "Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models," Working Papers 511, Hanken School of Economics.
  4. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany.
  5. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
  6. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy.
  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.
  8. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.
  9. Pitarakis, Jean-Yves, 2014. "A joint test for structural stability and a unit root in autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 577-587.
  10. Bent Nielsen & Zorica Mladenovic, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Series Working Papers 2009-W02, University of Oxford, Department of Economics.

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