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A note on the power of least squares tests for a unit root


  • West, Kenneth D.


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  • West, Kenneth D., 1987. "A note on the power of least squares tests for a unit root," Economics Letters, Elsevier, vol. 24(3), pages 249-252.
  • Handle: RePEc:eee:ecolet:v:24:y:1987:i:3:p:249-252

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    References listed on IDEAS

    1. Szpiro, George G, 1986. "Measuring Risk Aversion: An Alternative Approach," The Review of Economics and Statistics, MIT Press, vol. 68(1), pages 156-159, February.
    2. Van Herwaarden, Floor G. & Kapteyn, Arie, 1979. "Empirical comparison of the shape of welfare functions," Economics Letters, Elsevier, vol. 3(1), pages 71-76.
    3. Spitzer, John J, 1984. "Variance Estimates in Models with the Box-Cox Transformation: Implications for Estimations and Hypothesis Testing," The Review of Economics and Statistics, MIT Press, vol. 66(4), pages 645-652, November.
    4. Szpiro, George G., 1986. "Relative risk aversion around the world," Economics Letters, Elsevier, vol. 20(1), pages 19-21.
    5. Kapteyn, Arie & Wansbeek, Tom, 1982. "Empirical evidence on preference formation," Journal of Economic Psychology, Elsevier, vol. 2(2), pages 137-154, June.
    6. Kapteyn, Arie & Van Praag, Bernard M. S. & Van Herwaarden, Floor G., 1978. "Individual welfare functions and social reference spaces," Economics Letters, Elsevier, vol. 1(2), pages 173-177.
    7. Harrison, Glenn W., 1986. "An experimental test for risk aversion," Economics Letters, Elsevier, vol. 21(1), pages 7-11.
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    Cited by:

    1. Yin-Wong Cheung & Dickson C. Tam & Matthew S. Yiu, 2008. "Does the Chinese interest rate follow the US interest rate?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 53-67.
    2. Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 755-764, September.
    3. Yin-Wong Cheung & Antonio Garcia Pascual, 2004. "Testing for output convergence: a re-examination," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 45-63, January.
    4. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    5. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-369, April.
    6. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
    7. Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 50-65, January.
    8. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW).
    9. Haldrup, Niels, 1996. "Mirror image distributions and the Dickey-Fuller regression with a maintained trend," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 301-312.
    10. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
    11. Juan Carlos Cuestas & Javier Ordonez, 2011. "Unemployment and common smooth transition trends in Central and Eastern European Countries," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 39-52, September.
    12. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
    13. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
    14. Ayat, Leila & Burridge, Peter, 2000. "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 71-96, March.
    15. Scott E. Harrington & Tong Yu, 2003. "Do Property-Casualty Insurance Underwriting Margins Have Unit Roots?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 715-733.
    16. Papell, David H. & Prodan, Ruxandra, 2006. "Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1329-1349, August.

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