A modification of the Schmidt-Phillips unit root test
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 36 (1991)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Lee, J. & Schmidt, P., 1991. "A Modification of the Schmidt-Phillips Unit Root Test," Papers 9001, Michigan State - Econometrics and Economic Theory.
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- María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio.
- Westerlund, Joakim & Edgerton , David, 2006.
"New Improved Tests for Cointegration with Structural Breaks,"
2006:3, Lund University, Department of Economics.
- Joakim Westerlund & David L. Edgerton, 2007. "New Improved Tests for Cointegration with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, 03.
- Breitung, Jorg & Gourieroux, Christian, 1997.
"Rank tests for unit roots,"
Journal of Econometrics,
Elsevier, vol. 81(1), pages 7-27, November.
- Hwang, Jaeyoun & Schmidt, Peter, 1996. "Alternative methods of detrending and the power of unit root tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 227-248.
- Jushan Bai & Serena Ng, 2001.
"A Panic Attack on Unit Roots and Cointegration,"
Economics Working Paper Archive
469, The Johns Hopkins University,Department of Economics.
- Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
- Paulo M.M. Rodrigues & A. M. Robert Taylor, 2009. "The Flexible Fourier Form and Local GLS De-trended Unit Root Tests," Working Papers w200919, Banco de Portugal, Economics and Research Department.
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