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Testing for unit roots using the augmented Dickey-Fuller test : Some issues relating to the size, power and the lag structure of the test

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  • Harris, R. I. D.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 38 (1992)
Issue (Month): 4 (April)
Pages: 381-386

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Handle: RePEc:eee:ecolet:v:38:y:1992:i:4:p:381-386

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. Schlitzer, Giuseppe, 1995. "Testing the stationarity of economic time series: further Monte Carlo evidence," Ricerche Economiche, Elsevier, vol. 49(2), pages 125-144, June.
  2. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  3. Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany.
  4. Burke, S. P., 1996. "Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type," Economics Letters, Elsevier, vol. 50(3), pages 315-321, March.
  5. Montañés, Antonio & Reyes, Marcelo, 2000. "Structural breaks, unit roots and methods for removing the autocorrelation pattern," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 401-409, July.
  6. Kim, Hyeongwoo & Thompson, Henry, 2009. "Factor Proportions Wages in a Structural Vector Autoregression," MPRA Paper 17798, University Library of Munich, Germany.
  7. Hubert Strauß, 2002. "Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany," Kiel Working Papers 1101, Kiel Institute for the World Economy.

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