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The power of the ADF test

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  • Lopez, J. Humberto

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File URL: http://www.sciencedirect.com/science/article/B6V84-3T51RH8-2P/2/fbe40f926a2aa31b84b90ac780a77308
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 57 (1997)
Issue (Month): 1 (November)
Pages: 5-10

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Handle: RePEc:eee:ecolet:v:57:y:1997:i:1:p:5-10

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

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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Cited by:
  1. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  2. Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas, 2007. "Do real interest rates converge? Evidence from the European Union," Working Papers 2007_21, Business School - Economics, University of Glasgow.
  3. Daniel Kanda, 2008. "Spillovers to Ireland," IMF Working Papers 08/2, International Monetary Fund.
  4. Paparoditis, Efstathios & Politis, Dimitris N, 2013. "The Asymptotic Size and Power of the Augmented Dickey-Fuller Test for a Unit Root," University of California at San Diego, Economics Working Paper Series qt0784p55m, Department of Economics, UC San Diego.
  5. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
  6. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
  7. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.

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