The DOI matches its Crossref record; 99 of the 99 references it cites were found in a registry or an index.
Testing for a Unit Root
Abstract
Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and tables of critical values for commonly used tests are given. The chapter also uses functionals of Wiener processes to describe the asymptotic distributions of important test statistics.
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Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Testing for a unit root in time series regression
PHILLIPS, P. C. B., & PERRON, P. (1988) · Biometrika · doi:10.1093/biomet/75.2.335 · Cited by 19,155
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Filders, R. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90130-2 · Cited by 16,165
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,606
Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
Cited by
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
Lee, J., & Strazicich, M. C. (2003) · Review of Economics and Statistics · doi:10.1162/003465303772815961 · Cited by 2,388
Masih, A. M. M., & Masih, R. (1997) · Journal of Policy Modeling · doi:10.1016/s0161-8938(96)00063-4 · Cited by 398
Financial Development And Economic Growth Dynamics In South Asian Region
Alom, K. (2018) · The Journal of Developing Areas · doi:10.1353/jda.2018.0051 · Cited by 16
Metadata
- Authors
- Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. F.
- Venue
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Publisher
- Oxford University PressOxford
- Published
- 1993-05-27
- Pages
- 99-135
- OpenAlex
- W2483975081
- Cited by
- 872
- References
- 99
- FWCI
- 69.28
- Type
- book chapter
- Language
- en
- Open access
- closed
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- Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. F. (1993). Testing for a Unit Root. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data. https://doi.org/10.1093/0198288107.003.0004
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