Implementing unit roost tests in ARMA models of unknow order
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Volume (Year): 45 (2004)
Issue (Month): 2 (April)
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"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
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369, Boston College Department of Economics, revised 01 Sep 2000.
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- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
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- Galbraith, JohnW. & Zinde-Walsh, Victoria, 1999. "On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components," Journal of Econometrics, Elsevier, vol. 93(1), pages 25-47, November.
- Dolado, Juan J. & Hidalgo-Moreno, Javier, 1990. "The Asymptotic Distribution of the Iterated Gauss-Newton Estimators of an ARIMA Process," Econometric Theory, Cambridge University Press, vol. 6(04), pages 490-494, December.
- Elliott, Graham, 1999.
"Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-83, August.
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
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