A Modification of the Schmidt-Phillips Unit Root Test
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Bibliographic InfoPaper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9001.
Length: 16 pages
Date of creation: 1991
Date of revision:
Contact details of provider:
Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Web page: http://econ.msu.edu/
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econometrics ; economic models;
Other versions of this item:
- Schmidt, Peter & Lee, Junsoo, 1991. "A modification of the Schmidt-Phillips unit root test," Economics Letters, Elsevier, vol. 36(3), pages 285-289, July.
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.:
- Schmidt, P. & Phillips, P.C.B., 1990. "Testing forUnit Root in the Presence of Deterministic Trends," Papers 8904, Michigan State - Econometrics and Economic Theory.
- Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
- Joakim Westerlund & David L. Edgerton, 2007.
"New Improved Tests for Cointegration with Structural Breaks,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 28(2), pages 188-224, 03.
- Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
- 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.
- Hwang, Jaeyoun & Schmidt, Peter, 1996. "Alternative methods of detrending and the power of unit root tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 227-248.
- Breitung, Jorg & Gourieroux, Christian, 1997.
"Rank tests for unit roots,"
Journal of Econometrics,
Elsevier, vol. 81(1), pages 7-27, November.
- 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.
- Paulo M.M. Rodrigues & A. M. Robert Taylor, 2009. "The Flexible Fourier Form and Local GLS De-trended Unit Root Tests," Working Papers w200919, Banco de Portugal, Economics and Research Department.
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