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An outlier robust unit root test with an application to the extended Nelson-Plosser data

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  • Lucas, Andre

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4002HFN-8/2/c222f333fdc376d2454001f13d9cbaa6
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 66 (1995)
Issue (Month): 1-2 ()
Pages: 153-173

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Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:153-173

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

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  1. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
  2. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
  3. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  4. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
  5. Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(02), pages 200-212, June.
  6. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  7. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  8. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  10. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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