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On the asymptotic distribution of the DF-GLS test statistic

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  • Westerlund, Joakim

Abstract

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Suggested Citation

  • Westerlund, Joakim, 2014. "On the asymptotic distribution of the DF-GLS test statistic," Working Papers fe_2014_03, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2014_03
    DOI: 10.1080/02331888.2013.835815
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    Cited by:

    1. Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.
    2. Marcus J. Chambers, 2015. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 562-586, July.

    More about this item

    Keywords

    Unit root test; GLS detrending; Asymptotic distribution; Asymptotic local power; Method of proof;
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