References
- Abramowitz , M. and Stegun , I. A. 1964 . Handbook of Mathematical Functions , New York : Dover .
- Agiakloglou , C. and Newbold , P. 1992 . Empirical evidence on Dickey-Fuller-type tests . Journal of Time Series Analysis , 13 : 471 – 483 .
- Greene , W. H. 1997 . Econometric Analysis , Englewood Cliffs, NJ : Prentice Hall .
- Godfrey , L. G. 1988 . Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and other Approaches , Cambridge : Cambridge University Press .
- Godfrey , L. G. and Tremayne , A. R. 1988 . On the finite sample performance of tests for unit roots , Discussion Paper No. 88-03 University of Sydney .
- Fuller , W. A. 1976 . Introduction to Statistical Time Series , New York : Wiley .
- Kim , K. and Schmidt , P. 1993 . Unit root tests with conditional heteroskedasticity . Journal of Econometrics , 59 : 287 – 300 .
- King , M. L. and Hillier , G. H. 1985 . Locally best invariant tests of the error covariance matrix of the linear regression model . Journal of the Royal Statistical Society, Series B , 47 : 98 – 102 .
- King , M. L. and Wu , P. X. 1991 . Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model . Journal of Econometrics , 47 : 145 – 152 .
- Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
- Schwert , G. W. 1987 . Effects of model misspecification on tests for unit roots in macroeconomic data . Journal of Monetary Economics , 20 : 73 – 103 .
- Schwert , G. W. 1989 . Tests for unit roots: a Monte-Carlo investigation . Journal of Business and Economic Statistics , 7 : 147 – 159 .