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'Testing for a unit root In the presence of moving average errors'

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
1988Testing for a Unit Root in Time Series Regression19,288 cited
1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
1987Time Series Regression with a Unit Root2,821 cited
1987Effects of model specification on tests for unit roots in macroeconomic data637 cited

Cited by

2004Non-parametric direct multi-step estimation for forecasting economic processes121 cited
1990Time Series Regression With a Unit Root and Infinite-Variance Errors119 cited
1997An empirical study of seasonal unit roots in forecasting100 cited
1996MULTI‐STEP ESTIMATION FOR FORECASTING98 cited
1993Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications86 cited
1991Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary78 cited
1995Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model76 cited
1996RECENT ADVANCES IN MODELLING SEASONALITY71 cited

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2003ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS66 cited

2005New Trends in Macroeconomics64 cited

1992DURBIN‐HAUSMAN TESTS FOR A UNIT ROOT60 cited

1992Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection45 cited

1996BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS43 cited

1992JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS37 cited

1999On the distributions of Augmented Dickey–Fuller statistics in processes with moving average components36 cited

1998Are U.K. Inflation Expectations Rational?35 cited