Optimal Invariant Tests For The Autocorrelation Coefficient In Linear Regressions With Stationary And Nonstationary Ar(1) Errors
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Bibliographic InfoPaper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 8921.
Length: 44 pages
Date of creation: 1989
Date of revision:
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regression analysis ; tests ; correlation analysis;
Other versions of this item:
- 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, Universite de Montreal, Departement de sciences economiques.
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- Fan, Yanqin & Gençay, Ramazan, 2010.
"Unit Root Tests With Wavelets,"
Cambridge University Press, vol. 26(05), pages 1305-1331, October.
- 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.
- 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.
- Peter C.B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Cowles Foundation Discussion Papers
1189, Cowles Foundation for Research in Economics, Yale University.
- 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.
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