New unit root asymptotics in the presence of deterministic trends

Journal of Econometrics

Volumn 111, Issue 2, 2002, Pages 323-353

  Phillips, Peter C B ^a,b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Deterministic trends; Divergent critical values; Large K asymptotics; Normal limit distribution; Unit root distribution

Indexed keywords

COMPUTATIONAL METHODS; FUNCTIONS; MATHEMATICAL MODELS; STANDARDIZATION;

ASYMPTOTICS; UNIT ROOT DISTRIBUTION;

RANDOM PROCESSES;

EID: 0012784794     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00109-4     Document Type: Conference Paper

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