Infrequent permanent shocks and the finite-sample performance of unit root tests
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Publication:1189333
DOI10.1016/0165-1765(91)90031-FzbMath0850.62873OpenAlexW1968282425MaRDI QIDQ1189333
Nathan S. Balke, Thomas B. Fomby
Publication date: 26 September 1992
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(91)90031-f
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)
Related Items (3)
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS ⋮ ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
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