Tests for Unit Roots and the Initial Observation
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- Muller, Ulrich & Elliott, Graham, 2001. "Tests for Unit Roots and the Initial Observation," University of California at San Diego, Economics Working Paper Series qt9h99b2sv, Department of Economics, UC San Diego.
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- Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
- Muller, Ulrich K., 2005. "Size and power of tests of stationarity in highly autocorrelated time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 195-213, October.
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KeywordsUnit root tests; point optimal tests; weighted average power; asymptotic distributions;
All these keywords.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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