Critical values for the augmented efficient Wald test for fractional unit roots
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Volume (Year): 37 (2009)
Issue (Month): 3 (December)
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- Juan José Dolado & Jesús Gonzalo & Laura Mayoral, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," Economics Working Papers we20061221, Universidad Carlos III, Departamento de Economía.
- Serena Ng & Pierre Perron, 2001.
"A Note on the Selection of Time Series Models,"
Boston College Working Papers in Economics
500, Boston College Department of Economics.
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"Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,"
96a09, Universite Aix-Marseille III.
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-77, Sept.-Oct.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
- Lobato, Ignacio N. & Velasco, Carlos, 2008. "Power comparison among tests for fractional unit roots," Economics Letters, Elsevier, vol. 99(1), pages 152-154, April.
- Presno, Maria Jose & Lopez, Ana Jesus, 2003. "Response surface estimates of stationarity tests with a structural break," Economics Letters, Elsevier, vol. 78(3), pages 395-399, March.
- Ignacio N. Lobato & Carlos Velasco, 2005.
"Efficient Wald Tests For Fractional Unit Roots,"
Economics Working Papers
we056935, Universidad Carlos III, Departamento de Economía.
- Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
- Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
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