Evaluation of Robinson's (1994) tests in finite samples

Journal of Statistical Computation and Simulation

Volumn 68, Issue 1, 2000, Pages 39-63

  Gil Alana, L A ^a,b  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b UNIVERSITY OF NAVARRA   (Spain)

Author keywords

Fractional integration; Monte Carlo simulations; Unit roots

Indexed keywords

EID: 0034348266     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650008812055     Document Type: Review

References (8)

1. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 85,427-431.
2. Fuller, W. A. (1976) Introduction to statistical time series. Willey Series in Probability and Mathematical Statistics, Willey, New York, NY.
3. Gil-Alana, L. A. and Robinson, P. M. (1997) Testing of unit roots and other non-stationary hypotheses in macroeconomic time series. Journal of Econometrics, 80, 241-268.
4. Nelson, C. R. and Piosser, C. I. (1982) Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10, 139-162.
5. Press, W. H., Flannery, B. P., Teukolsky, S. A. and Vetterling, W. T. (1986) Numerical recipes: The art of scientific computing. Cambridge University Press, Cambridge.
6. Robinson, P. M. (1993) Highly insignificant F-ratios. Econometrica, 61, 687-696.
7. Robinson, P. M. (1994) Efficient tests of nonstationary hypotheses. Journal of the American Statistical Association, 89, 1420-1437.
8. Schmidt, P. and Phillips, P. C. B. (1992) LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics, 54, 257-287.