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Multiple unit root tests under uncertainty over the initial condition: some powerful modifications

  • Christoph Hanck

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    File URL: http://hdl.handle.net/10.1007/s00362-011-0379-0
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    Article provided by Springer in its journal Statistical Papers.

    Volume (Year): 53 (2012)
    Issue (Month): 3 (August)
    Pages: 767-774

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    Handle: RePEc:spr:stpapr:v:53:y:2012:i:3:p:767-774
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    1. Bayer Christian & Hanck Christoph, 2009. "Combining Non-Cointegration Tests," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    2. 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.
    3. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(03), pages 587-636, June.
    4. Kruse, Robinson, 2008. "A new unit root test against ESTAR based on a class of modified statistics," Hannover Economic Papers (HEP) dp-398, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Kristian Jönsson, 2008. "The accuracy of normal approximation in a heterogeneous panel data unit root test," Statistical Papers, Springer, vol. 49(3), pages 565-579, July.
    6. 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.
    7. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-59, October.
    8. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    9. Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-71, November.
    10. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
    11. 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.
    12. Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, 07.
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