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Size performance of the lagrange multiplier (LM) unit root test in the presence of a neglected break under the null
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 701-705
Persistent link: https://www.econbiz.de/10003741635
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Linear vs. log-linear unit-root specification : an application of mis-specification encompassing
Spanos, Aris; Hendry, David F.; Reade, J. James - In: Oxford bulletin of economics and statistics 70 (2008), pp. 829-847
Persistent link: https://www.econbiz.de/10003787677
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The limit distribution of the estimates in cointegrated regression models with multiple structural changes
Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10003778212
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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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A generalization of the Burridge-Guerre nonparametric root test
García, Ana; Sansó, Andreu - In: Econometric theory 22 (2006) 4, pp. 756-761
Persistent link: https://www.econbiz.de/10003351884
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GARCH, heteroscedasticity-consistent vovariance matric estimation and non-linear unit root testing
Cook, Steven - In: Applied financial economics letters 2 (2006) 4, pp. 217-222
Persistent link: https://www.econbiz.de/10003351931
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Robust confidence intervals for autoregressive coefficients near one
Thompson, Samuel B. - In: Identification and inference for econometric models : …, (pp. 375-402). 2005
Persistent link: https://www.econbiz.de/10003352584
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A unified approach to testing for stationarity and unit roots
Harvey, Andrew C. - In: Identification and inference for econometric models : …, (pp. 403-425). 2005
Persistent link: https://www.econbiz.de/10003352588
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On the alternative long-run variance ratio test for a unit root
Cai, Ye; Shintani, Mototsugu - In: Econometric theory 22 (2006) 3, pp. 347-372
Persistent link: https://www.econbiz.de/10003307468
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Does VaR estimate have a unit root? : application of the Phillips-Perron test
Chuang, I-yuan; Chiu, Yen-chen; Wang, C. Edward - In: Journal of financial management and analysis : … 18 (2005) 2, pp. 12-17
Persistent link: https://www.econbiz.de/10003337650