Efficient Tests for an Autoregressive Unit Root
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Publication:4895048
DOI10.2307/2171846zbMath0888.62088OpenAlexW2149292156MaRDI QIDQ4895048
Thomas J. Rothenberg, Graham Elliott, James H. Stock
Publication date: 8 June 1998
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0130.pdf
time seriesnonstationarityOrnstein-Uhlenbeck processespower envelopeDickey-Fuller t-testpoint-optimal tests
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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