A note on the power of least squares tests for a unit root

DOI10.1016/0165-1765(87)90125-XzbMath1328.62547OpenAlexW2029178348MaRDI QIDQ899993

Kenneth D. West

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90125-x

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Unit root testing, Near-integration and deterministic trends, Mirror image distributions and the Dickey-Fuller regression with a maintained trend, Unit root tests in the presence of uncertainty about the non-stochastic trend, Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification, Adjusted estimates and Wald statistics for the AR(1) model with constant

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in time series regression
• Asymptotic Normality, When Regressors Have a Unit Root