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Limiting power of unit-root tests in time-series regression

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  • Nabeya, Seiji
  • Tanaka, Katsuto
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-45821XY-X/2/9b7308b496711683756ad27b419115e7
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 46 (1990)
    Issue (Month): 3 (December)
    Pages: 247-271

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    Handle: RePEc:eee:econom:v:46:y:1990:i:3:p:247-271

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

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    Cited by:
    1. Sanchez, Ismael, 1998. "Testing for Unit Roots with Prediction Errors," University of California at San Diego, Economics Working Paper Series qt8pc6n1j8, Department of Economics, UC San Diego.
    2. Elliott, Graham & Muller, Ulrich K., 2006. "Minimizing the impact of the initial condition on testing for unit roots," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 285-310.
    3. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
    4. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    5. Patrick Marsh, . "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    6. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
    7. Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    8. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.

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