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Unit Root Tests in the presence of Uncertainty about the Non-Stochastic Trends

  • Ayat, L.
  • Burridge, P.

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag length selected by the BIC criterion.

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Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 96-28.

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Length: 29 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bir:birmec:96-28
Contact details of provider: Postal: Edgbaston, Birmingham, B15 2TT
Web page: http://www.economics.bham.ac.uk

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  1. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  2. Eugene Canjels & Mark W. Watson, 1997. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 184-200, May.
  3. West, Kenneth D., 1987. "A note on the power of least squares tests for a unit root," Economics Letters, Elsevier, vol. 24(3), pages 249-252.
  4. Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
  5. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
  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.
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