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Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

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Dufour, Jean-Marie
King, Maxwell L.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 47 (1991)
Issue (Month): 1 (January)
Pages: 115-143
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Handle: RePEc:eee:econom:v:47:y:1991:i:1:p:115-143

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  1. George Kapetanios & Yongcheol Shin, 2004. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," ESE Discussion Papers 108, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  2. Banerjee, A.N. & Magnus, J.R., 1996. "Testing the sensitivity of ols when the variance matrix is (partially) unknown," Discussion Paper 54, Tilburg University, Center for Economic Research. [Downloadable!]
  3. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York. [Downloadable!]
  4. Giovanni Forchini & Patrick Marsh, . "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York. [Downloadable!]
  5. Ismael S‡nchez, 1998. "Testing for Unit Roots with Prediction Errors," University of California at San Diego, Economics Working Paper Series 98-21, Department of Economics, UC San Diego. [Downloadable!]
  6. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005. "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers 05.38, Institute of Economic Policy Research (IEPR). [Downloadable!]
    Other versions:
  7. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]
  9. Podivinsky, Jan M & King, Maxwell L, 2000. "The Exact Power Envelope of Tests for a Unit Root," Discussion Paper Series In Economics And Econometrics 0026, Economics Division, School of Social Sciences, University of Southampton. [Downloadable!]
  10. Jean-Marie Dufour & Abdeljelil Farhat & Marc Hallin, 2005. "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," CIRANO Working Papers 2005s-04, CIRANO. [Downloadable!]
    Other versions:
  11. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," Economics Working Papers we086027, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  12. Patrick Marsh, . "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York. [Downloadable!]
  13. Zeng-Hua Lu & Maxwell King, 2002. "Improving The Numerical Technique For Computing The Accumulated Distribution Of A Quadratic Form In Normal Variables," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 149-165. [Downloadable!] (restricted)
  14. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics. [Downloadable!]
  15. Ismael Sanchez, 1998. "Testing for Unit Roots with Prediction Errors," University of California at San Diego, Economics Working Paper Series 1998-21, Department of Economics, UC San Diego. [Downloadable!]
  16. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen. [Downloadable!]
  17. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York. [Downloadable!]
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