A Lagrange multiplier stationarity test using covariates
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 85 (2004)
Issue (Month): 3 (December)
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
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- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(01), pages 56-94, February.
- Hansen, Bruce E., 1995.
"Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power,"
Cambridge University Press, vol. 11(05), pages 1148-1171, October.
- Bruce E. Hansen, 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Boston College Working Papers in Economics 300., Boston College Department of Economics.
- Saikkonen, Pentti & Luukkonen, Ritva, 1993. "Point Optimal Tests for Testing the Order of Differencing in ARIMA Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 343-362, June.
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