On the power of GLS-type unit root tests

Oxford Bulletin of Economics and Statistics

Volumn 62, Issue 5, 2000, Pages 633-645

  Burridge, Peter ^a   Taylor, A M Robert ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF BIRMINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034550684     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00194     Document Type: Article

References (11)

1. Ayat, K. L. and Burridge, P. (2000). Unit root tests in the presence of uncertainty about the non-stochastic trend, Journal of Econometrics, Vol. 95, pp. 71-96.
2. 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, Vol. 74, pp. 427-31.
3. Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio tests for autoregressive time series with a unit root, Econometrica, Vol. 49, pp. 1057-1072.
4. Elliott, G. (1994). Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution, University of California-San Diego Discussion Paper 94-28.
5. Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996). Efficient tests for autoregressive unit root, Econometrica, Vol. 64, pp. 813-36.
6. Galbraith, J. W. and Zinde-Walsh, V. (1992). The GLS transformation matrix and a semi-recursive estimator for the regression model with ARMA errors, Econometric Theory, Vol. 8, pp. 95-111.
7. Galbraith, J. W. and Zinde-Walsh, V. (1999). On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components, Journal of Econometrics, Vol. 93, No. 1, pp. 25-47.
8. Hatanaka, M. (1996). Time-Series-Based Econometrics: Unit Roots and Cointegration, Oxford University Press, New York.
9. Pantula, S. G., Gonzalez-Farias, G. and Fuller, W. A. (1994). A comparison of unit-root test criteria, Journal of Business and Economic Statistics, Vol. 12, pp. 449-59.
10. Shin, D. W. and Fuller, W. A. (1998). Unit root tests based on unconditional maximum likelihood estimation for the autoregressive moving average, Journal of Time Series Analysis, Vol. 19, pp. 591-99.
11. Xiao, Z. and Phillips, P. C. B. (1998). An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy, Econometrics Journal, Vol. 1, pp. 27-43.