Inference in a nearly integrated autoregressive model with nonnormal innovations

Journal of Econometrics

Volumn 80, Issue 2, 1997, Pages 269-286

  Rothenberg, Thomas J ^a   Stock, James H ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NONE

Author keywords

Maximum likelihood; Power envelope; Robust inference; Unit root

Indexed keywords

EID: 0041444337     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00040-7     Document Type: Article

References (14)

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