Near observational equivalence and theoretical size problems with unit root tests

Econometric Theory

Volumn 12, Issue 4, 1996, Pages 724-731

  Faust, Jon ^a,b  

^a FEDERAL RESERVE BOARD   (United States)

^b Federal Reserve Board Division of International Finance   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030502241     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600007003     Document Type: Article

References (5)

1. Basu, D. (1977) On the elimination of nuisance parameters. Journal of the American Statistical Association 72, 355-366.
2. Blough, S.R. (1992) The relationship between power and level for generic unit root tests in finite samples. Journal of Applied Econometrics 7, 295-308.
3. Campbell, J.Y. & P. Perron (1991) Pitfalls and opportunities: What macroeconomists should know about unit roots. In O. Blanchard & S. Fischer (eds.), NBER Macroeconomics Annual, pp. 141-201. Cambridge, Massachusetts: MIT Press.
4. Sims, C. (1971) Distributed lag estimation when the parameter space is explicitly infinite-dimensional. Annals of Mathematical Statistics 42, 1622-1636.
5. Sims, C. (1972) The role of approximate prior restrictions in distributed lag estimation. Journal of the American Statistical Association 67, 169-175.