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Efficient Tests for an Autoregressive Unit Root
Home
Publications
Efficient Tests for an Autoregressive Unit Root
Efficient Tests for an Autoregressive Unit Root
Graham Elliott
Graham Elliott
TR
Thomas J. Rothenberg
Thomas J. Rothenberg
JS
James H. Stock
James H. Stock
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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
REPRESENTATION
OPTIMAL
GAUSSIAN
TRE
ASYMPTOTIC
EFFICIENT TESTS
AUTOREGRESSIVE UNIT ROOT
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