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Original Articles

On the size of the DF–GLS test

Pages 777-780 | Published online: 01 Aug 2008

References

  • Bhargava , A. 1986 . On the theory of testing for unit roots in observed time series . Review of Economic Studies , 52 : 369 – 84 .
  • 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 – 31 .
  • Elliott , G. , Rothenberg , T. J. and Stock , J. H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • Granger , C. J. W. and Newbold , P. 1974 . Spurious regressions in econometrics . Journal of Econometrics , 2 : 121 – 30 .
  • Leybourne , S. J. , Mills , T. C. and Newbold , P. 1998 . Spurious rejections by Dickey–Fuller tests in the presence of a break under the null . Journal of Econometrics , 87 : 191 – 203 .
  • Schmidt , P. and Phillips , P. C. B. 1992 . LM tests for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 87 .
  • Vougas , D. 2007 . “ Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null ” . In Applied Economics Letters forthcoming

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