Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation
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References listed on IDEAS
- Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 5-17, January.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
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- Fossati, Sebastian, 2012.
"Covariate unit root tests with good size and power,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3070-3079.
- Fossati, Sebastian, 2011. "Covariate Unit Root Tests with Good Size and Power," Working Papers 2011-4, University of Alberta, Department of Economics.
- 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.
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