67
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

New unit root tests of the Nelson-Plosser data

Pages 9-11 | Published online: 06 Oct 2010

References

  • Dickey , D. A. and Fuller , W. A. 1981 . Distributions of estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Elliott , G. , Rothenberg , T. J. and Stock , J. H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 836 .
  • Fuller , W. A. 1996 . Introduction to Statistical Time Series , New York : John Wiley & Sons .
  • Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 178 .
  • Nelson , C. R. and Plosser , C. I. 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 162 .
  • Pantula , S. G. , Gonzalez-Farias , G. and Fuller , W. A. 1994 . A comparison of unit-root test criteria . Journal of Business & Economic Statistics , 12 : 449 – 459 .
  • Park , H. J. and Fuller , W. A. 1995 . Alternative estimators and unit root tests for the autoregressive process . Journal of Time Series Analysis , 16 : 415 – 429 .
  • Perron , P. 1989 . The Great Crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 1401 .
  • Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the Great Crash, the oil-price shock, and the unitroot hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 270 .

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:

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:

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.