A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
- repec:hal:journl:peer-00834424 is not listed on IDEAS
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
- Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011.
"A class of simple distribution-free rank-based unit root tests,"
Journal of Econometrics,
Elsevier, vol. 163(2), pages 200-214, August.
- Marc Hallin & Ramon Van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
More about this item
Keywordsunit root; Dickey-Fuller tests; non-similarity; Monte Carlo simulations; empirical size; nominal size;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
- NEP-ECM-2004-05-09 (Econometrics)
- NEP-ETS-2004-05-09 (Econometric Time Series)
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