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Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection

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  • Hall, Alastair

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  • Hall, Alastair, 1992. "Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 223-250.
    • Handle: RePEc:eee:econom:v:54:y:1992:i:1-3:p:223-250
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    Cited by:

    1. Gonzalo, Jesús & Lee, Tae-Hwy, 1995. "No lack of relative power of the Dickey-Fuller tests for unit roots," DES - Working Papers. Statistics and Econometrics. WS 4512, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Carsten Ochsen, 2009. "On the measurement of mismatch," Applied Economics Letters, Taylor & Francis Journals, vol. 16(4), pages 405-409.
    3. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 1, pages 109-154, Junio.
    4. Hall, Alastair & Lee, Tae Yoon, 1996. "Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large," Economics Letters, Elsevier, vol. 52(3), pages 247-255, September.
    5. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
    6. Kem Reat Viseth, 2001. "Currency Substitution and Financial Sector Developments in Cambodia," International and Development Economics Working Papers idec01-4, International and Development Economics.

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