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ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

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References

1988Testing for a Unit Root in Time Series Regression19,288 cited
1987Time Series Regression with a Unit Root2,821 cited
1987Towards a Unified Asymptotic Theory for Autoregression842 cited
1981Testing For Unit Roots: 1398 cited
1993The Limiting Distribution of the Autocorrelation Coefficient under a Unit Root94 cited
1993Ols Bias in a Nonstationary Autoregression68 cited
1995The Limiting Distribution of the t Ratio Under a Unit Root60 cited
1990Limiting power of unit-root tests in time-series regression50 cited
1994Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend26 cited

Cited by

2005Une synthèse des tests de racine unitaire sur données de panel60 cited
2012Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization12 cited
2001APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS12 cited

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