On the power of unit root tests against fractional alternatives
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference16 articles.
1. Empirical evidence on Dickey-Fuller-type tests;Agiakloglou;Journal of Time Series Analysis,1992
2. The power problems of unit root tests in time series with autoregressive errors;DeJong;Journal of Econometrics,1992
3. Distribution of the estimators for autoregressive time series with a unit root;Dickey;Journal of the American Statistical Association,1979
4. Unit roots in economic time series: A selective survey;Diebold,1990
5. On the power of Dickey-Fuller tests against fractional alternatives;Diebold;Economics Letters,1991
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