Commentaries on unit root testing in practice: Dealing with uncertainty over the trend and initial condition, by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor

Econometric Theory

Volumn 25, Issue 3, 2009, Pages 643-648

  Mller, Ulrich K ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 69849110344     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466608090208     Document Type: Note

References (8)

1. Ayat, L. & P. Burridge (2000) Unit root tests in the presence of uncertainty about the stochastic trend. Journal of Econometrics 95, 71-96.
2. Elliott, G. & U.K. M̈uller (2006) Minimizing the impact of the initial condition on testing for unit roots. Journal of Econometrics 135, 285-310.
3. Elliott, G., T.J. Rothenberg, & J.H. Stock (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.
4. Jansson, M. (2008) Semiparametric power envelopes for tests of the unit root hypothesis. Econometrica 76, 1103-1142.
5. Lehmann, E.L. (1986) Testing Statistical Hypotheses, 2nd ed. Wiley.
6. M̈uller, U.K. (2007) An Alternative Sense of Asymptotic Efficiency. Working paper, Princeton University.
7. M̈uller, U.K. & G. Elliott (2003) Tests for unit roots and the initial condition. Econometrica 71, 1269-1286.
8. M̈uller, U.K. & M.W. Watson (2008) Testing models of low-frequency variability. Econometrica 76, 979-1016.