Evaluation of robinson's (1994) Tests in finite samples

References

• Dickey , D.A. and Fuller , W.A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 85 : 427 – 431 .
   Google Scholar
• Fuller , W.A. 1976 . Introduction to statistical time series , New York, NY : Willey . Willey Series in Probability and Mathematical Statistics
   Google Scholar
• Gil-Alana , L.A. and Robinson , P.M. 1997 . Testing of unit roots and other non- stationary hypotheses innacroeconomic time series . Journal of Econometrics , 80 : 241 – 268 .
   Web of Science ®Google Scholar
• Nelson , C.R. and Plosser , C.I. 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 162 .
   Web of Science ®Google Scholar
• Press , W.H. , Flannery , B.P. , Teukolsky , S.A. and Vetterling , W.T. 1986 . Numerical recipes: The art of scientific computing , Cambridge : Cambridge University Press .
   Google Scholar
• Robinson , P.M. 1993 . Highly insignificant jp-ratios . Econometrica , 61 : 687 – 696 .
   Web of Science ®Google Scholar
• Robinson , P.M. 1994 . Efficient tests of nonstationary hypotheses . Journal of the American Statistical Association , 89 : 1420 – 1437 .
   Web of Science ®Google Scholar
• Schmidt , P. and Phillips , P.C.B. 1992 . LM tests for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 287 .
   Web of Science ®Google Scholar