The power problems of unit root test in time series with autoregressive errors

Journal of Econometrics

Volumn 53, Issue 1-3, 1992, Pages 323-343

  DeJong, David N ^a   Nankervis, John C ^b   Savin, N E ^c   Whiteman, Charles H ^c  

^a UNIVERSITY OF PITTSBURGH   (United States)

^b LONDON METROPOLITAN UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF IOWA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001403098     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(92)90090-E     Document Type: Article

References (30)

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6. National Bureau of Economic Research working paper no. 1910
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8. Integration versus trend-stationarity in time series
9. Distribution of the estimators for autoregressive time series with a unit root
10. Likelihood ratio statistics for autoregressive time series with a unit root
11. Co-integration and error correction Representation estimation and testing
12. Technical progress and aggregate fluctuations
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14. Dividend variability and variance bounds tests for the rationality of stock market prices
15. Dividend behavior for the aggregate stock market
16. Trends and random walks in macroeconomic time series: Some evidence and implications
17. Trends and random walks in macroeconomic time series: Further evidence from a new approach
18. Test consistency with varying sampling frequency
19. Time series regressions with a unit root
20. Testing for a unit root in time series regression
21. Testing for a unit root in time series regression
22. Testing for unit roots in autoregressive-moving average models of unknown order
23. Effects of model specification on tests for unit roots in macroeconomic data
24. Do stock prices move too much to be justified by subsequent changes in dividends?
25. Macroeconomics and Reality
26. Testing for common trends
27. A note on the power of least squares tests for a unit root