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Testing the autoregressive parameter with the t statistic

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  • Nankervis, J. C.
  • Savin, N. E.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-458299P-1M/2/7f719a36244df548d9baa99b9394e496
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 27 (1985)
    Issue (Month): 2 (February)
    Pages: 143-161

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    Handle: RePEc:eee:econom:v:27:y:1985:i:2:p:143-161

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

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    Cited by:
    1. DUFOUR, Jean-Marie & NEIFAR, Malika, 2003. "Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes," Cahiers de recherche 2003-11, Universite de Montreal, Departement de sciences economiques.
    2. Hellstrom, Jorgen, 2001. "Unit root testing in integer-valued AR(1) models," Economics Letters, Elsevier, vol. 70(1), pages 9-14, January.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 43-58, March.
    5. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
    6. R.W. Hafer & Scott E. Hein, 1989. "Comparing futures and survey forecasts of near-term Treasury bill rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 33-42.
    7. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.

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