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A Modification of the Schmidt-Phillips Unit Root Test

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Author Info
Lee, J.
Schmidt, P.

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Abstract

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Publisher Info
Paper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9001.

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Length: 16 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:fth:mistet:9001

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Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
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Related research
Keywords: econometrics ; economic models;

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  1. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
    Other versions:
  2. Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
    Other versions:
  3. J. Breitung & C. Gouriéroux, . "Rank Tests for Unit Roots," Sonderforschungsbereich 373 1996-9, Humboldt Universitaet Berlin.
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  4. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio. [Downloadable!] (restricted)
  5. Uwe Hassler & Paulo M. M. Rodrigues, 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
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