Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series-Reference-Cited by-同舟云学术

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Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series

Published:2016-04-07 Issue:4 Volume:4 Page:21
ISSN:2225-1146
Container-title:Econometrics
language:en
Short-container-title:Econometrics

Author:

Cappuccio Nunzio,Lubian Diego^ORCID

Publisher

MDPI AG

Subject

Economics and Econometrics

Link

http://www.mdpi.com/2225-1146/4/2/21/pdf

Reference19 articles.

1. Testing for unit roots: a montecarlo investigation;Schwert;J. Bus. Econ. Stat.,1989

2. Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

3. Unit Root Tests, Size Distortion, and Cointegrated Data;Reed,2014

4. Univariate Unit root Tests Perform Poorly When Data are Cointegrated;Reed,2016

5. Time series analysis and simultaneous equation econometric models

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