Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 29, 2000 - Issue 11
Submit an article Journal homepage
44
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Ratio tests of a unit root

Teruo Nakatsuma Department of Economics, Keio University, Minato-ku, Tokyo, 108-8345, Japan2-15-45 MitaView further author information
,
Elena Gouskova Department of Economics, Rutgers University, New Brunswick, NJ, 08901-1248, USAView further author information
,
Jinichi Uemura Institute of Developing Economies, Chiba-shi, Chiba, 261-8545, Japan3-2-2 Wakaba, Mihama-kuView further author information
&
Hiroki Tsurumi Department of Economics, Rutgers University, New Brunswick, NJ, 08901-1248, USA
Pages 2547-2571 | Received 01 Aug 1999, Published online: 23 Jul 2008

  • Anderson , T. W. 1971 . The Statistical Analysis of Time Series , New York : John Wiley and Sons .
  • Ansley , C. F. , Kohn , R. and Shively , T. S. Computing p-values for the generalized Durbin-Watson and other invariant test statistics . Journal of Econometrics , 54 277 – 300 .
  • Berenblut , I.I. and Webb , G. I. 1973 . A new test for autocorrelated errors in the linear regression model . Journal of the Royal Statistical Society Series B , 35 : 33 – 50 .
  • Bhargava , A. 1996 . Some properties of exact tests for unit roots . Biometrika , 83 : 944 – 949 .
  • 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 , 74 : 427 – 431 .
  • Dubbleman , C. , Louter , A. S. and Abrahamse , A. P. J. 1978 . On typical characteristics of economic time series and the relative qualities of five autocorrelation tests . Journal of Econometrics , 8 : 295 – 306 .
  • Durbin , J. and Watson , G. S. 1950 . Testing for serial correlation in least squares regression I . Biometrika , 37 : 409 – 428 .
  • Dufour , J. M. and King , M. L. 1991 . Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or non-stationary AR(1) errors . Journal of Econometrics , 47 : 115 – 143 .
  • Elliott , G. , Rothenberg , T.J. and Stock , J.H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 836 .
  • Ferguson , T. S. 1967 . Mathematical Statistics: a Decision Theoretic Approach , New York : Academic Press .
  • Fuller , W. A. 1976 . Introduction to statistical time series , New York : Wiley and Sons .
  • Gouskova , E. 1999 . Review of ratio type statistics . mimeograph ,
  • Hamilton , J. D. 1994 . Time Series Analysis , Princeton : Princeton University Press .
  • Hisamatsu , H. and Maekawa , K. 1994 . The distribution of the Durbin-Watson statistic in integrated and near-integrated models . Journal of Econometrics , 61 : 367 – 382 .
  • Kariya , T. 1979 . Kaiki Bunseki No Riron , Tokyo : Iwanami Shoten .
  • Kariya , T. and Eaton , M.L. 1977 . Robust tests for spherical symmetry . Annals of Statistics , 5 : 206 – 215 .
  • Kariya , T. and Sinha , B. K. 1989 . Robustness of Statistical Tests , New York : Academic Press .
  • King , M. L. 1980 . Robust tests for spherical symmetry and their application to least squares regression . Annals of Statistics , 8 : 1265 – 1271 .
  • King , M. L. 1981 . The alternative Durbin-Watson test: an assessment of Durbin and Watson's choice of test statistic . Journal of Econometrics , 17 : 51 – 66 .
  • King , M. L. 1985 . A point optimal test for autoregressive disturbances . Journal of Econometrics , 27 : 21 – 37 .
  • King , M. L. 1988 . Towards a theory of point optimal testing . Econometric Review , 6 ( 2 ) : 169 – 218 .
  • King , M.L. and Harris , D.C. 1995 . The application of the Durbin- Watson test to the dynamic regression model under normal and non-normalerrors . Econometric Review , 14 ( 4 ) : 487 – 510 .
  • Imhof , J. P. 1961 . Computing the distribution of quadratic forms in normal variables . Biometrika , 48 ( 4 ) : 419 – 426 .
  • Saikkonen , P. and Luukkonen , R. 1993 . Point optimal tests for testing the order of differencing in ARIMA models . Econometric Theory , 9 ( 4 ) : 343 – 362 .
  • Perron , P. 1988 . Trends and random walks in macroeconomic time series . Journal of Economic Dynamics and Control , 12 ( 4 ) : 297 – 332 .
  • Sargan , J. D. and Bhargava , A. 1983 . Testing residuals from least squares regression for being generated by the Gaussian random walk . Econometrica , 51 ( 4 ) : 153 – 174 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.