Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution

International Economic Review

Volumn 40, Issue 3, 1999, Pages 767-784

  Elliott, Graham ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039519993     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2354.00039     Document Type: Article

References (13)

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4. DICKEY, D.A. AND W.A. FULLER, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association 74 (1979), 427-431.
5. ELLIOTT G., T.J. ROTHENBERG, AND J.H. STOCK, "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Paper No. 130, December 1992.
6. _, and _, "Efficient Tests for an Autoregressive Unit Root," Econometrica 64 (1996), 813-836.
7. EVANS, G.B.A. AND N.B. SAVIN, "Testing for Unit Roots: 2," Econometrica 52 (1984), 1241-1269.
8. KING, M.L., "Robust Tests for Spherical Symmetry and their Application to Least Squares Regression," Annals of Statistics 8 (1980), 1265-1271.
9. _, "Towards a Theory of Point Optimal Testing," Econometric Reviews 6 (1988), 169-218.
10. PANTULA, S., G. GONZALES-FARIAS, AND W.A. FULLER, "A Comparison of Unit Root Test Criteria," Journal of Business and Economic Statistics 12 (1994), 449-459.
11. PHILLIPS, P.C.B., "Time Series Regression with a Unit Root," Econometrica 55 (1987a), 277-302.
12. _, "Towards a Unified Asymptotic Theory for Autoregression," Biometrika 74 (1987b), 535-547.
13. STOCK, J.H., "Unit Roots and Trend Breaks in Econometrics," in D. McFadden and R.F. Engle, eds., Handbook of Econometrics, Vol. 4 (Amsterdam: North Holland, 1984), pp. 2739-2841.