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• Juergen Wolters

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Article provided by Springer in its journal Allgemeines Statistisches Archiv.

Volume (Year): 90 (2006)
Issue (Month): 1 (March)
Pages: 43-58
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Handle: RePEc:spr:alstar:v:90:y:2006:i:1:p:43-58

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Related research

Keywords: Dickey-Fuller size and power deterministic components structural breaks JEL C22

References listed on IDEAS
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1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
2. Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 755-764, 09. [Downloadable!] (restricted)
   Other versions:
   • Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics 0311008, EconWPA. [Downloadable!]
3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • 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.
4. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(3), pages 355-369, 05. [Downloadable!] (restricted)
   Other versions:
   • Steve Leybourne & Paul Newbold & Tae-Hwan Kim, 2003. "Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test," Econometrics 0311007, EconWPA. [Downloadable!]
5. Nankervis, J. C. & Savin, N. E., 1985. "Testing the autoregressive parameter with the t statistic," Journal of Econometrics, Elsevier, vol. 27(2), pages 143-161, February. [Downloadable!] (restricted)
6. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation, Yale University. [Downloadable!]
7. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
   Other versions:
   • Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
   • Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
8. repec:cup:etheor:v:10:y:1994:i:5:p:917-36 is not listed on IDEAS
9. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 423-69, December. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation, Yale University. [Downloadable!]
10. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May. [Downloadable!] (restricted)
11. George Kapetanios, 2005. "Unit-root testing against the alternative hypothesis of up to m structural breaks," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(1), pages 123-133, 01. [Downloadable!] (restricted)
12. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
13. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
    Other versions:
    • G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
14. Valkanov, Rossen, 2005. "Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data," Economics Letters, Elsevier, vol. 86(3), pages 427-433, March. [Downloadable!] (restricted)
15. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 431-447. [Downloadable!] (restricted)
16. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
    Other versions:
    • 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)
17. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
    Other versions:
    • Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
18. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November. [Downloadable!] (restricted)
    Other versions:
    • Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
19. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May. [Downloadable!] (restricted)
20. Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March. [Downloadable!] (restricted)
    Other versions:
    • Ayat, L. & Burridge, P., 1996. "Unit Root Tests in the presence of Uncertainty about the Non-Stochastic Trends," Discussion Papers 96-28, Department of Economics, University of Birmingham.
21. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May. [Downloadable!] (restricted)

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