F versus t tests for unit roots

Economics Bulletin

Volumn 3, Issue 1, 2001, Pages

  Elder, John ^a   Kennedy, Peter E ^b  

^a NORTH DAKOTA STATE UNIVERSITY   (United States)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 7444220971     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (8)

1. Ayat, L., and P. Burridge (2000) "Unit Root Tests in the Presence of uncertainty about the Non-stochastic Trend" Journal of Econometrics 95, 71-96.
2. Dickey, D. A., and W. A. Fuller (1981) "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root" Econometrica 49, 1057-1072.
3. Dickey, D. A. (1984) "Powers of Unit Root Tests" Proceedings of Business and Economic Statistics Section, American Statistical Association, 489-493.
4. Enders, W. (1995) Applied Econometric Time Series, Wiley: New York.
5. Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press: Princeton.
6. Hatanaka, M. (1996) Time-Series-Based Econometrics: Unit Roots and Cointegration, Oxford University Press: Oxford.
7. Holden, D., and R. Perman (1994) "Unit Roots and Cointegration for the Economist" in Cointegration for the Applied Economist by B. Bhaskara Rao, Ed., St. Martin's Press: New York, 47-112.
8. Perron, P. (1988) "Trends and Random Walks in Macroeconomic Time Series" Journal of Economic Dynamics and Control 12, 297-332.