Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag

Journal of the American Statistical Association

Volumn 90, Issue 429, 1995, Pages 268-281

  Ng, Serena ^a   Perron, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Dickey Fuller t test; General to specific; Information criteria; Order selection; Said Dickey test

Indexed keywords

EID: 21844518679     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1995.10476510     Document Type: Article

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