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Original Articles

Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection

Pages 461-470 | Published online: 02 Jul 2012

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Charles R. Nelson. (1998) Book reviews. Econometric Reviews 17:2, pages 215-220.
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Yin-Wong. Cheung & Kon S. Lai. (1998) Power of the augmented dickey-fuller test with information-based lag selection. Journal of Statistical Computation and Simulation 60:1, pages 57-65.
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Kevin J. Fox. (1997) White noise and other experiments on augmented Dickey-Fuller tests. Applied Economics Letters 4:11, pages 689-694.
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Yin-Wong Cheung & MenzieD. Chinn. (1997) Further Investigation of the Uncertain Unit Root in GNP. Journal of Business & Economic Statistics 15:1, pages 68-73.
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Crato Nuno & Pedro J. F de Lima. (1997) On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives. Communications in Statistics - Simulation and Computation 26:4, pages 1431-1446.
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R. Stuart McDougall. (1996) Seasonal unit root characteristics of disaggregated output. Applied Economics Letters 3:12, pages 749-753.
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S.J. Leybourne, B. P. M. McCabe & A.R. Tremayne. (1996) Can Economic Time Series Be Differenced to Stationarity?. Journal of Business & Economic Statistics 14:4, pages 435-446.
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Dorian Owen & Stephen Knowles. (1996) Book reviews. New Zealand Economic Papers 30:1, pages 117-125.
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Paul Newbold & Dimitrios Vougas. (1996) Drift in the relative price of primary commodities: a case where we care about unit roots. Applied Economics 28:6, pages 653-661.
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W. A. Razzak. (1995) Are devaluations effective in inducing real depreciations in sub-Saharan Africa?. Applied Economics Letters 2:11, pages 437-439.
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Yin-Wong Cheung & KonS. Lai. (1995) Lag Order and Critical Values of the Augmented Dickey–Fuller Test. Journal of Business & Economic Statistics 13:3, pages 277-280.
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Serena Ng & Pierre Perron. (1995) Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag. Journal of the American Statistical Association 90:429, pages 268-281.
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