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The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes

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  • Bent Nielsen

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 1999-W19.

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Date of creation: 01 Jan 1999
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Handle: RePEc:oxf:wpaper:1999-w19

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Cited by:
  1. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(21), pages 1-29.
  2. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
  3. Bent Nielsen & J. James Reade, 2004. "Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second Order Autoregression," Economics Series Working Papers 2004-W24, University of Oxford, Department of Economics.
  4. Ahlgren, Niklas & Nyblom, Jukka, 2005. "Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models," Working Papers 511, Hanken School of Economics.
  5. Bent Nielsen & Zorica Mladenovic, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Series Working Papers 2009-W02, University of Oxford, Department of Economics.
  6. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.
  7. Hui Liu & Gabriel Rodriguez, 2003. "Human Activities and Global Warming: A Cointegration Analysis," Working Papers 0307E, University of Ottawa, Department of Economics.
  8. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  9. Pitarakis, Jean-Yves, 2014. "A joint test for structural stability and a unit root in autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 577-587.
  10. Bent Nielsen & Lars Hougaard Hansen, 2004. "Two sided analysis of variance with a latent time series," Economics Series Working Papers 2004-W25, University of Oxford, Department of Economics.

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