Optimal Invariant Tests For The Autocorrelation Coefficient In Linear Regressions With Stationary And Nonstationary Ar(1) Errors
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Other versions of this item:
- Dufour, J.M. & King, M.L., 1989. "Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary and Nonstationary Ar(1) Errors," Cahiers de recherche 8921, Universite de Montreal, Departement de sciences economiques.
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- Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
- Phillips, Peter C B & Xiao, Zhijie, 1998.
" A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-469, December.
- Laura Mayoral, 2005.
"Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks,"
Economics Working Papers
956, Department of Economics and Business, Universitat Pompeu Fabra.
- Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona Graduate School of Economics.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometric Society, vol. 69(6), pages 1519-1554, November.
- 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.
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Keywordsregression analysis ; tests ; correlation analysis;
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