Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- 1 July 1996
- journal article
- Published by Oxford University Press (OUP) in The Review of Economic Studies
- Vol. 63 (3) , 435-463
- https://doi.org/10.2307/2297890
Abstract
Many unit root tests have distorted sizes when the root of the error process is close to the unit circle. This paper analyses the properties of the PKeywords
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