Efficient Tests for an Autoregressive Unit Root
- 1 July 1996
- journal article
- Published by JSTOR in Econometrica
- Vol. 64 (4) , 813
- https://doi.org/10.2307/2171846
Abstract
The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various tre...Keywords
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