Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary and Nonstationary Ar(1) Errors

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Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary and Nonstationary Ar(1) Errors

Author Info

Dufour, J.M.
King, M.L.

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Jean-Marie Dufour

Abstract

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8921.

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Length: 44P. pages
Date of creation: 1989
Date of revision:
Handle: RePEc:mtl:montde:8921

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Paper
- Dufour, J-M. & King, M.L., 1989. "Optimal Invariant Tests For The Autocorrelation Coefficient In Linear Regressions With Stationary And Nonstationary Ar(1) Errors," Cahiers de recherche 8921, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

Cited by:
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Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
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)
Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany. [Downloadable!]
Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- 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)

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