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On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components

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  • Galbraith, JohnW.
  • Zinde-Walsh, Victoria

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 93 (1999)
Issue (Month): 1 (November)
Pages: 25-47

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Handle: RePEc:eee:econom:v:93:y:1999:i:1:p:25-47

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

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  1. Zinde-Walsh, Victoria, 1988. "Some Exact Formulae for Autoregressive Moving Average Processes," Econometric Theory, Cambridge University Press, vol. 4(03), pages 384-402, December.
  2. Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9427, Universite de Montreal, Departement de sciences economiques.
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
  4. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 323-343.
  5. 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.
  6. Barthelemy, F. & Lubrano, M., 1996. "Properties of the ADF Unit Root Test for Models with Trends and Cycles," G.R.E.Q.A.M., Universite Aix-Marseille III 96a13, Universite Aix-Marseille III.
  7. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 461-70, October.
  8. Galbraith, John W. & Zinde-Walsh, Victoria, 1992. "The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors," Econometric Theory, Cambridge University Press, vol. 8(01), pages 95-111, March.
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Cited by:
  1. Carstensen, Kai, 2003. "The finite-sample performance of robust unit root tests," Munich Reprints in Economics, University of Munich, Department of Economics 19943, University of Munich, Department of Economics.
  2. Arghyrou, Michael G. & Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Do real interest rates converge? Evidence from the European union," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(3), pages 447-460, July.
  3. Ismael Sánchez, 2004. "Implementing unit roost tests in ARMA models of unknow order," Statistical Papers, Springer, vol. 45(2), pages 249-266, April.
  4. Patrick Richard, 2008. "Modified Fast Double Sieve Bootstraps for ADF Tests," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 08-17, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  5. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0612, Economics, The University of Manchester.

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