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Unbiased estimation as a solution to testing for random walks

  • Abadir, Karim M.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-41CXW90-6/2/5cb926e79538dd2b92f30489992e46bd
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 47 (1995)
    Issue (Month): 3-4 (March)
    Pages: 263-268

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    Handle: RePEc:eee:ecolet:v:47:y:1995:i:3-4:p:263-268
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Choi, In, 1992. "Durbin-Hausman Tests for a Unit Root," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 289-304, August.
    2. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
    3. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
    4. Abadir, Karim M., 1995. "A New Test for Nonstationarity Against the Stable Alternative," Econometric Theory, Cambridge University Press, vol. 11(01), pages 81-104, February.
    5. Abadir, Karim M., 1993. "On the Asymptotic Power of Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 9(02), pages 189-221, April.
    6. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May.
    7. Peter C.B. Phillips, 1990. "A Shortcut to LAD Estimator Asymptotics," Cowles Foundation Discussion Papers 949, Cowles Foundation for Research in Economics, Yale University.
    8. 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 1057-72, June.
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