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Alternative methods of detrending and the power of unit root tests

  • Hwang, Jaeyoun
  • Schmidt, Peter

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VWPP00-B/2/be7c57a5ba9145689971125e0491ff42
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 71 (1996)
Issue (Month): 1-2 ()
Pages: 227-248

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Handle: RePEc:eee:econom:v:71:y:1996:i:1-2:p:227-248
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 369-84, July.
  2. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  3. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
  4. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  5. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  6. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  7. Lee, J. & Schmidt, P., 1991. "A Modification of the Schmidt-Phillips Unit Root Test," Papers 9001, Michigan State - Econometrics and Economic Theory.
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