A note on bootstrapping unit root tests in the presence of a non-zero drift
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 78 (2003)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/ecolet
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- Atsushi Inoue & Lutz Kilian, 2000.
"Bootstrapping Autoregressive Processes with Possible Unit Roots,"
Econometric Society World Congress 2000 Contributed Papers
0401, Econometric Society.
- Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
- Park, Joon Y. & Phillips, Peter C.B., 1989.
"Statistical Inference in Regressions with Integrated Processes: Part 2,"
Cambridge University Press, vol. 5(01), pages 95-131, April.
- Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 2," Cowles Foundation Discussion Papers 819R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1987.
- Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-67, August.
- Heimann, Günter & Kreiss, Jens-Peter, 1996. "Bootstrapping general first order autoregression," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 87-98, September.
- 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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