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P-Values for non-standard distributions with an application to the DF test

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  • Adda, Jerome
  • Gonzalo, Jesus

Abstract

The literature of unit roots and structural breaks has produced numerous tests that follow non-standard asymptotic distributions. This paper by fitting a seminonparametric model to them proposes a new simple way of calculating the p-values.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VW1DMM-2/2/c1052605cf60169cdcecd4093d7bfe41
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 50 (1996)
Issue (Month): 2 (February)
Pages: 155-160

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Handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:155-160

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References

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  1. James G. MacKinnon, 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Working Papers 861, Queen's University, Department of Economics.
  2. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
  3. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
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Cited by:
  1. Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June.
  2. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  3. Jushan Bai & Josep Llu�s Carrion-I-Silvestre, 2009. "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 471-501.
  4. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.

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