33
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Final modification of the LM unit root test

Pages 1007-1009 | Published online: 23 Oct 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 .
  • Dickey , D. A. and Fuller , W. A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Dickey , D. A. and Said , S. E. 1981 . Testing ARIMA(p, 1, q) against ARMA(p+1, q) . Proceedings of the American Statistical Association, Business and Economic Statistics Section , 28 : 318 – 22 .
  • Granger , C. J. W. and Newbold , P. 1974 . Spurious regressions in econometrics . Journal of Econometrics , 2 : 121 – 30 .
  • Said , S. E. and Dickey , D. A. 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 607 .
  • Said , S. E. and Dickey , D. A. 1985 . Hypothesis testing in arima(p,1, q) models . Journal of the American Statistical Association , 80 : 369 – 74 .
  • 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. 2006 . Modification of the LM unit root test, forthcoming . Applied Economics Letters , 14 : 913 – 17 .

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.