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Infrequent permanent shocks and the finite-sample performance of unit root tests


  • Balke, Nathan S.
  • Fomby, Thomas B.


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  • Balke, Nathan S. & Fomby, Thomas B., 1991. "Infrequent permanent shocks and the finite-sample performance of unit root tests," Economics Letters, Elsevier, vol. 36(3), pages 269-273, July.
  • Handle: RePEc:eee:ecolet:v:36:y:1991:i:3:p:269-273

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    References listed on IDEAS

    1. Chen, Chung & Tiao, George C, 1990. "Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 83-97, January.
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    Cited by:

    1. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    2. Cribari-Neto, Francisco, 1993. "Unit roots, random walks and the sources of business cycles: a survey," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 47(3), July.
    3. Joseph H. Haslag & Scott E. Hein, 1995. "Measuring the policy effects of changes in reserve requirement ratios," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 2-15.
    4. Przemyslaw Wlodarczyk, 2017. "Fiscal sustainability of the Visegrad Group countries in the aftermath of global economic crisis," Lodz Economics Working Papers 2/2017, University of Lodz, Faculty of Economics and Sociology.
    5. Maria del Mar Sanchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raíz unitaria con cambio estructural: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 2, pages 107-143, Diciembre.
    6. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.

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