The Limiting Distribution of the T Ratio Under a Unit Root
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Bibliographic InfoPaper provided by American Cairo - Economics and Political Sciences in its series Papers with number 1992-2.
Length: 21 pages
Date of creation: 1992
Date of revision:
Contact details of provider:
Postal: The American University in Cairo, Economics and Political Science. 113 Sharia Kasr El Aini Cairo Egypt.
Web page: http://www.aucegypt.edu/Business/econ/
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mathematics ; econometrics;
Other versions of this item:
- Abadir, Karim M., 1995. "The Limiting Distribution of the t Ratio Under a Unit Root," Econometric Theory, Cambridge University Press, vol. 11(04), pages 775-793, August.
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- Dietrich, Franz K., 2001.
"The limiting distribution of the t-ratio for the unit root test in an AR(1),"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-15430, Maastricht University.
- Franz K. Dietrich, 2001. "The limiting distribution of the t-ratio for the unit root test in an AR(1)," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 5.
- Neil R. Ericsson & James G. MacKinnon, 1999.
"Distributions of error correction tests for cointegration,"
International Finance Discussion Papers
655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009. "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers esdp09055, University of Molise, Dept. SEGeS.
- Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
- K Abadir & W Distaso, .
"Testing joint hypotheses when one of the alternatives is one-sided,"
05/13, Department of Economics, University of York.
- Abadir, Karim M. & Distaso, Walter, 2007. "Testing joint hypotheses when one of the alternatives is one-sided," Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
- Rolf Larsson, 1998. "The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process," Annals of the Institute of Statistical Mathematics, Springer, vol. 50(1), pages 29-48, March.
- Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- Marcus J. Chambers, 2013. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Economics Discussion Papers 727, University of Essex, Department of Economics.
- Dietrich, Franz, 2003. "Closed Analytical Forms and Numerical Approximation of Dickey-Fuller Probability Distributions," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15429, Maastricht University.
- Patrick Richard, 2007. "ARMA Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised Jul 2009.
- John Nixon, . "Convergence Analysis of Health Care Expenditure in the EU Countries Using Two Approaches," Discussion Papers 99/3, Department of Economics, University of York.
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