Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-14T22:57:56.266Z Has data issue: false hasContentIssue false

COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor

Published online by Cambridge University Press:  01 June 2009

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Article Commentary
Copyright
Copyright © Cambridge University Press 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Dufour, J.-M. & King, M.L. (1991) Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors. Journal of Econometrics 47, 115143.CrossRefGoogle Scholar
Elliott, C., Rothenberg, T.J., & Stock, J.H. (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813836.10.2307/2171846CrossRefGoogle Scholar
Francke, M.K. & de Vos, A.F. (2007) Marginal likelihood and unit roots. Journal of Econometrics 137, 708728.10.1016/j.jeconom.2005.10.005Google Scholar
Fraser, D.A.S. (2004) Ancillaries and conditional inference (with commentaries). Statistical Science 19, 333369.10.1214/088342304000000323Google Scholar
Marsh, P. (2007a) Constructing optimal tests on a lagged dependent variable. Journal of Time Series Analysis 28, 723743.10.1111/j.1467-9892.2007.00536.xCrossRefGoogle Scholar
Marsh, P. (2007b) The available information for invariant tests of a unit root. Econometric Theory 23, 686710.10.1017/S0266466607070296Google Scholar
Ng, S. & Perron, P. (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 15191554.10.1111/1468-0262.00256Google Scholar
Schmidt, P. & Phillips, P.C.B. (1992) LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics 54, 257287.Google Scholar