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Applied Economics Letters Volume 15, 2008 - Issue 5
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Original Articles

Exact distribution and critical values of a unit root test when error terms are serially correlated

Junya Masuda Graduate school of Economics, Kobe University, Rokkodai 2-1, Nada-ku, Kobe, 657-8501, JapanCorrespondence[email protected]
&
Kazuhiro Ohtani Graduate school of Economics, Kobe University, Rokkodai 2-1, Nada-ku, Kobe, 657-8501, Japan
Pages 359-362 | Published online: 25 Mar 2008

References

  • Evans , GBA and Savin , NE . 1981 . Testing for unit root test: 1 . Econometrica , 49 : 753 – 79 .
  • Fuller , WA . 1976 . Introduction to Statistical Time Series , New York : Wiley and Sons .
  • Imhof , JP . 1961 . Computing the distribution of quadratic forms in normal variables . Biometrika , 48 : 419 – 26 .
  • Koerts , J and Abrahamse , APJ . 1970 . On the Theory and Application of the General Linear Model , Rotterdam : Rotterdam University Press .
  • Ohtani , K . 2000 . Exact and bootstrap distribution of a unit root test . Applied Economics Letters , 7 : 463 – 6 .
  • Ohtani , K . 2002 . Exact critical values of a unit root tests with drift and trend . Applied Economics Letters , 9 : 137 – 45 .
  • Ohtani , K . 2004 . Exact distribution and critical values of a unit root tests in the presence of change in variance . Applied Economics Letters , 11 : 855 – 60 .
  • Phillips , PCB . 1977 . Approximation to some finite sample distributions associated with a first-order difference equation . Econometrica , 45 : 463 – 86 .
  • Phillips , PCB . 1986 . Time series regression with a unit root test . Econometrica , 55 : 277 – 301 .
  • Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .

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