Minimizing the impact of the initial condition on testing for unit roots
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference18 articles.
1. Asymptotic inference for nearly nonstationary AR(1) processes;Chan;The Annals of Statistics,1987
2. Distribution of the estimators for autoregressive time series with a unit root;Dickey;Journal of the American Statistical Association,1979
3. Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors;Dufour;Journal of Econometrics,1991
4. Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution;Elliott;International Economic Review,1999
5. Efficient tests for an autoregressive unit root;Elliott;Econometrica,1996
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