On the asymptotic distribution of the DF-GLS test statistic
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KeywordsUnit root test; GLS detrending; Asymptotic distribution; Asymptotic local power; Method of proof;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-15 (All new papers)
- NEP-ECM-2014-02-15 (Econometrics)
- NEP-ETS-2014-02-15 (Econometric Time Series)
- NEP-SOG-2014-02-15 (Sociology of Economics)
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