Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- 1 November 1997
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 81 (1) , 29-64
- https://doi.org/10.1016/s0304-4076(97)00033-x
Abstract
No abstract availableKeywords
This publication has 27 references indexed in Scilit:
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation LagJournal of the American Statistical Association, 1995
- Higher-order sample autocorrelations and the unit root hypothesisJournal of Econometrics, 1993
- Nonstationarity and Level Shifts with an Application to Purchasing Power ParityJournal of Business & Economic Statistics, 1992
- Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisJournal of Business & Economic Statistics, 1992
- On Bayesian routes to unit rootsJournal of Applied Econometrics, 1991
- MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYOxford Bulletin of Economics and Statistics, 1990
- Testing for a Unit Root in a Time Series with a Changing MeanJournal of Business & Economic Statistics, 1990
- Testing for Unit Roots: 2Econometrica, 1984
- Testing For Unit Roots: 1Econometrica, 1981
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979