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The Limit Distribution of Level Crossings of a Random Walk, and a Simple Unit Root Test.
Burridge, P.; Guerre, E. - 1995
Persistent link: https://www.econbiz.de/10005641156
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Agreement and Disagreement Between Unit Root Tests.
Boero, K.L.A.G.; Burridge, P.; Sheldon, M. - Department of Economics, University of Birmingham - 1995
Persistent link: https://www.econbiz.de/10005738239
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Unit Root Tests in the presence of Uncertainty about the Non-Stochastic Trends.
Ayat, L.; Burridge, P. - Department of Economics, University of Birmingham - 1996
A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag...
Persistent link: https://www.econbiz.de/10005146595
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The Limit Distribution and Level Crossings of Random Walk, and a Simple Unit Root Test.
Burridge, P.; Guerre, E. - Department of Economics, University of Birmingham - 1995
Persistent link: https://www.econbiz.de/10005245954