This paper has been announced in the following NEP Reports:

• NEP-ALL-2003-01-27 (All new papers)
• NEP-ECM-2003-02-10 (Econometrics)
• NEP-ETS-2003-01-27 (Econometric Time Series)

1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
   Other versions:
   • Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
2. Elliott, Graham & Stock, James H., 2001. "Confidence intervals for autoregressive coefficients near one," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 155-181, July. [Downloadable!] (restricted)
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   • Graham Elliott & JAMES STOCK, 2000. "Confidence Intervals for Autoregressive Coefficients Near One," University of California at San Diego, Economics Working Paper Series 2000-19, Department of Economics, UC San Diego. [Downloadable!]
3. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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   • Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier. [Downloadable!] (restricted)
4. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December. [Downloadable!] (restricted)
   Other versions:
   • James H. Stock, 1991. "Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series," NBER Technical Working Papers 0105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January. [Downloadable!] (restricted)
6. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
   Other versions:
   • Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation, Yale University, revised Jul 1989. [Downloadable!]
7. Ulrich K. Müller & Graham Elliott, 2001. "Tests for Unit Roots and the Initial Observation," University of St. Gallen Department of Economics working paper series 2002 2002-02, Department of Economics, University of St. Gallen. [Downloadable!]
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   • Ulrich Muller & Graham Elliott, 2001. "Tests for Unit Roots and the Initial Observation," University of California at San Diego, Economics Working Paper Series 2001-19, Department of Economics, UC San Diego. [Downloadable!]
8. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June. [Downloadable!] (restricted)
9. PERRON, Pierre & VODOUNOU, Cosme, 1998. "Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition," Cahiers de recherche 9815, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
   Other versions:
   • Pierre Perron & Cosme Vodounou, 2001. "Asymptotic approximations in the near-integrated model with a non-zero initial condition," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 42.
10. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
    Other versions:
    • Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
11. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
12. Nabeya, Seiji & Tanaka, Katsuto, 1990. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, Econometric Society, vol. 58(1), pages 145-63, January. [Downloadable!] (restricted)
13. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July. [Downloadable!] (restricted)
14. Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004. "Generalizations of the KPSS-test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502. [Downloadable!] (restricted)
15. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept. [Downloadable!] (restricted)
16. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March. [Downloadable!]
17. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
18. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-83, August.
    Other versions:
    • Graham Elliott, 1994. "Efficient Tests for a Unit Root when the Initial Observation is Drawn from its Unconditional Distribution," University of California at San Diego, Economics Working Paper Series 94-28, Department of Economics, UC San Diego.
19. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October. [Downloadable!] (restricted)
    Other versions:
    • Kilian, L. & Caner, M., 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate," Papers 99-05, Michigan - Center for Research on Economic & Social Theory.
    • Caner, Mehmet & Kilian, Lutz, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
20. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April. [Downloadable!] (restricted)