On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components
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- DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
- 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.
- Perron, P. & Ng, S., 1994.
"Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,"
Cahiers de recherche
9427, Universite de Montreal, Departement de sciences economiques.
- Pierre Perron & Serena Ng, 1996. "Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties," Review of Economic Studies, Oxford University Press, vol. 63(3), pages 435-463.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Galbraith, John W. & Zinde-Walsh, Victoria, 1992. "The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors," Econometric Theory, Cambridge University Press, vol. 8(01), pages 95-111, March.
- Barthelemy, F. & Lubrano, M., 1996. "Properties of the ADF Unit Root Test for Models with Trends and Cycles," G.R.E.Q.A.M. 96a13, Universite Aix-Marseille III.
- Zinde-Walsh, Victoria, 1988. "Some Exact Formulae for Autoregressive Moving Average Processes," Econometric Theory, Cambridge University Press, vol. 4(03), pages 384-402, December.
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
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