Alternative methods of detrending and the power of unit root tests
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 71 (1996)
Issue (Month): 1-2 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
- Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometric Society, vol. 64(4), pages 813-36, July.
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- 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.
- Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 369-84, July.
- Schmidt, Peter & Lee, Junsoo, 1991.
"A modification of the Schmidt-Phillips unit root test,"
Elsevier, vol. 36(3), pages 285-289, July.
- Lee, J. & Schmidt, P., 1991. "A Modification of the Schmidt-Phillips Unit Root Test," Papers 9001, Michigan State - Econometrics and Economic Theory.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2009.
"A Gaussian Test for Cointegration,"
Microeconomics Working Papers
22013, East Asian Bureau of Economic Research.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2010. "A Gaussian Test for Cointegration," Macroeconomics Working Papers 23040, East Asian Bureau of Economic Research.
- Gulasekaran Rajaguru & Tilak Abeysinghe, 2009. "A Gaussian Test for Cointegration," SCAPE Policy Research Working Paper Series 0905, National University of Singapore, Department of Economics, SCAPE.
- Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit root testing,"
AStA Advances in Statistical Analysis,
Springer, vol. 90(1), pages 43-58, March.
- Ismael Sánchez, 2004. "Implementing unit roost tests in ARMA models of unknow order," Statistical Papers, Springer, vol. 45(2), pages 249-266, April.
- So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
- 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.
- Jang, Myoung Jin & Shin, Dong Wan, 2005. "Comparison of panel unit root tests under cross sectional dependence," Economics Letters, Elsevier, vol. 89(1), pages 12-17, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.