On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend
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References listed on IDEAS
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
- Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- repec:cup:etheor:v:9:y:1993:i:1:p:81-93 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Abadir Karim M. & Larsson Rolf, 2012.
"Biases of Correlograms and of AR Representations of Stationary Series,"
Journal of Time Series Econometrics,
De Gruyter, vol. 4(1), pages 1-11, May.
- K Abadir & R Larsson, "undated". "Biases of correlograms and of AR representations of stationary series," Discussion Papers 05/21, Department of Economics, University of York.
- Karim M. Abadir & Rolf Larsson, 2012. "Biases of Correlograms and of AR Representations of Stationary Series," Working Paper series 24_12, Rimini Centre for Economic Analysis.
- Jacobson, Tor & Larsson, Rolf, 1999.
"Bartlett corrections in cointegration testing,"
Computational Statistics & Data Analysis,
Elsevier, vol. 31(2), pages 203-225, August.
- Jacobson, Tor & Larsson, Rolf, 1996. "Bartlett Corrections in Cointegration Testing," SSE/EFI Working Paper Series in Economics and Finance 134, Stockholm School of Economics.
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KeywordsAutoregression with trend; unit root test;
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