Limiting power of unit-root tests in time-series regression
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 46 (1990)
Issue (Month): 3 (December)
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- 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.
- 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.
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