The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
Author:
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1081/SAC-200033390
Reference14 articles.
1. Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
2. On the Power of GLS-Type Unit Root Tests
3. Correcting size distortion of the Dickey–Fuller test via recursive mean adjustment
4. Graphical Methods for Investigating the Size and Power of Hypothesis Tests
5. Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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