The disappointing properties of GLS-based unit root tests in the presence of structural breaks

Communications in Statistics Part B: Simulation and Computation

Volumn 33, Issue 3, 2004, Pages 585-596

  Cook, Steven ^a   Manning, Neil ^a  

^a SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

Empirical power; GLS detrending; Size distortion; Unit root testing

Indexed keywords

EID: 6344237096     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAC-200033390     Document Type: Article

References (14)