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Unit root testing Author info | Abstract | Publisher info | Download info | Related research | Statistics Jürgen Wolters ()
Uwe Hassler ()
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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:43-58Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112915
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Keywords: Dickey-Fuller size and power deterministic components structural breaks JEL C22 References listed on IDEAS 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.:
Dickey, David A & Fuller, Wayne A, 1981.
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Econometrica ,
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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.
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Other versions: John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots ,"
NBER Technical Working Papers
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Other versions: Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005.
"Examination of Some More Powerful Modifications of the Dickey-Fuller Test ,"
Journal of Time Series Analysis ,
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Other versions: Nankervis, J. C. & Savin, N. E., 1985.
"Testing the autoregressive parameter with the t statistic ,"
Journal of Econometrics ,
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Phillips, P.C.B., 1986.
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Journal of Econometrics ,
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Other versions: 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.
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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.
repec:cup:etheor:v:10:y:1994:i:5:p:917-36 is not listed on IDEAS
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: 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.
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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)
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.
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.
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.
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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.
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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.
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Other versions: 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: 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: 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.
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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.
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Other versions: 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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references Cited by : (explanations , 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.)
Kappler, Marcus, 2006.
"Panel Tests for Unit Roots in Hours Worked ,"
ZEW Discussion Papers
06-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
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