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Applied Economics Letters Volume 9, 2002 - Issue 3
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Original Articles

Exact critical values of unit root tests with drift and trend

Kazuhiro Ohtani Faculty of Economics, Kobe University, Rokko, Nada-ku, Kobe 657-8501, Japan
Pages 137-145 | Published online: 07 Oct 2010

References

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  • MacKinnon , J. G. 1991 . “ Critical values for cointegration tests ” . In Long-Run Economic Relationships , Edited by: Engle , R. F. and Granger , C. W. J. Oxford : Oxford University Press .
  • Ohtani , K. 1998a . Exact and bootstrap distributions of a unit root test . Applied Economics Letters , forthcoming
  • Ohtani , K. 1998b . Exact critical values of unit root tests when there are a constant term and a time trend . Applied Economics Letters , forthcoming
  • Schmidt , P. 1990 . “ Dickey-Fuller tests with drift ” . In Cointegration, Spurious Regression and Unit Roots , Advances in Econometrics, 8 Edited by: Fomby , T. B. and Rhodes , G. F. Jr. 161 – 200 .

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