Marsh, Patrick - In: Journal of Time Series Analysis 28 (2007) 5, pp. 723-743
Via the leading unit-root case, the problem of testing on a lagged dependent variable is characterized by a nuisance parameter which is present only under the alternative [see Andrews and Ploberger, Econometrica (1994) Vol. 62, pp. 1318-1414]. This has proven to be a barrier to the construction...