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The Limiting Distribution of the t Ratio Under a Unit Root

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  • Abadir, Karim M.

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  • Abadir, Karim M., 1995. "The Limiting Distribution of the t Ratio Under a Unit Root," Econometric Theory, Cambridge University Press, vol. 11(04), pages 775-793, August.
  • Handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:775-793_00
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    Cited by:

    1. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
    2. Marcus J. Chambers, 2015. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 562-586, July.
    3. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
    4. Abadir, Karim M. & Distaso, Walter, 2007. "Testing joint hypotheses when one of the alternatives is one-sided," Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
    5. John Nixon, "undated". "Convergence Analysis of Health Care Expenditure in the EU Countries Using Two Approaches," Discussion Papers 99/3, Department of Economics, University of York.
    6. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    7. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009. "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers esdp09055, University of Molise, Dept. EGSeI.
    8. Patrick Richard, 2007. "ARMA Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke, revised Jul 2009.
    9. repec:esx:essedp:727 is not listed on IDEAS
    10. Rolf Larsson, 1998. "The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(1), pages 29-48, March.
    11. David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.

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