Efficient tests for an autoregressive unit root

Econometrica

Volumn 64, Issue 4, 1996, Pages 813-836

  Elliott, Graham ^a   Rothenberg, Thomas J ^a   Stock, James H ^a  

^a NONE

Author keywords

Nonstationarity; Ornstein Uhlenbeck processes; Point optimal tests; Power envelope

Indexed keywords

AUTOREGRESSION; OPTIMAL TEST; SMALL SAMPLE; SMALL SAMPLE PROPERTY; TIME SERIES; UNIT ROOT;

MONTE CARLO METHODS;

STATISTICAL TESTS;

EID: 0030356207     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171846     Document Type: Article

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