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Inference in a nearly integrated autoregressive model with nonnormal innovations

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Rothenberg, Thomas J.
Stock, James H.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3SX1M2Y-5/2/4b89998846af902ffb3612a7a8820117
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 80 (1997)
Issue (Month): 2 (October)
Pages: 269-286
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Handle: RePEc:eee:econom:v:80:y:1997:i:2:p:269-286

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  1. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," ECARES Working Papers 2009_001, Université Libre de Bruxelles, Ecares. [Downloadable!]
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  3. Hendrik P. van Dalen & Kene Henkens, 2000. "What makes a Scientific Article influential?," Tinbergen Institute Discussion Papers 00-032/1, Tinbergen Institute. [Downloadable!]
  4. Graham Elliott & Michael Jansson & Elena Pesavento, 2003. "Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity," Emory Economics 0303, Department of Economics, Emory University (Atlanta). [Downloadable!]
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  5. Andy C. C. Kwan & Ah-Boon Sim & Yangru Wu, 2005. "On the size and power of normalized autocorrelation coefficients," Applied Financial Economics, Taylor and Francis Journals, vol. 15(1), pages 1-11, January. [Downloadable!] (restricted)
  6. Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, School of Economics and Management, University of Aarhus. [Downloadable!]
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  7. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  8. Karim M. Abadir & Andre Lucas, 2000. "A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model," Tinbergen Institute Discussion Papers 00-033/4, Tinbergen Institute. [Downloadable!]
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